Asymptotic normality of the discrete Fourier transform of long memory time series

DOI10.1016/0167-7152(94)00023-9zbMath0805.62088OpenAlexW2058639226MaRDI QIDQ1341361

Phm Dinh Tuan, Dominique Guégan

Publication date: 9 January 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00023-9

zbMATH Keywords

discrete Fourier transformspectral densityspectrum estimationtime-serieslong-range memory processesshort-range memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

The periodogram regression:correction and comments ⋮ A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence

Cites Work

• Unnamed Item
• On estimation of a regression model with long-memory stationary errors
• The central limit theorem for time series regression
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• On large-sample estimation for the mean of a stationary random sequence
• A CENTRAL LIMIT THEOREM OF FOURIER TRANSFORMS OF STRONGLY DEPENDENT STATIONARY PROCESSES

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