An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series

DOI10.1016/0304-4149(94)00020-4zbMath0810.62023OpenAlexW2065371655MaRDI QIDQ1344955

Norma Terrin, Clifford M. Hurvich

Publication date: 20 April 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00020-4

zbMATH Keywords

long-range dependencespectral densitylog-periodogram regressionsemiparametricnormalized periodogramFourier frequenciesasymptotic joint distributionfractional ARMAWiener-Ito integralsgeneral long memory time serieslinear stationary time series

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

Asymptotics for duration-driven long range dependent processes, Fourier transforms of stationary processes, Estimating fractional cointegration in the presence of polynomial trends, Central limit theorem for Fourier transforms of stationary processes, Asymptotic spectral theory for nonlinear time series, Quenched limit theorems for Fourier transforms and periodogram

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