On the integral of the squared periodogram
From MaRDI portal
Publication:1613586
DOI10.1016/S0304-4149(99)00071-XzbMath0995.62012OpenAlexW2041257755MaRDI QIDQ1613586
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00071-x
Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)
Related Items
Asymptotics for functionals of powers of a periodogram ⋮ On the Frequency Variogram and on Frequency Domain Methods for the Analysis of Spatio-Temporal Data ⋮ Not all estimators are born equal: the empirical properties of some estimators of long memory ⋮ Statistical inference for spatial statistics defined in the Fourier domain ⋮ Spectral domain diagnostics for testing model proximity and disparity in time series data ⋮ Moment bounds for non-linear functionals of the periodogram ⋮ Moment bounds and central limit theorem for functions of Gaussian vectors ⋮ Selection between models through multi-step-ahead forecasting ⋮ A local spectral approach for assessing time series model misspecification ⋮ On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise ⋮ Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Time series: theory and methods.
- Estimation and information in stationary time series
- On estimation of the integrals of certain functions of spectral density
- A test of fit in time series models
- Expectations of products of quadratic forms in normal variables
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- The asymptotic theory of linear time-series models
