The maximum of the periodogram of a non-Gaussian sequence.

DOI10.1214/aop/1022677270zbMath1073.62556OpenAlexW2020603118MaRDI QIDQ1807185

Thomas Mikosch, Richard A. Davis

Publication date: 9 November 1999

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1022677270

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (14)

The maximum of the periodogram for a heavy-tailed sequence. ⋮ The periodogram of an i.i.d. sequence. ⋮ On maxima of periodograms of stationary processes ⋮ Estimation of the frequency in cyclical long-memory series ⋮ Estimation of the location and exponent of the spectral singularity of a long memory process ⋮ Fisher's g Revisited ⋮ The Maximum of the Periodogram of a Sequence of Functional Data ⋮ Product of exponentials and spectral radius of random \(k\)-circulants ⋮ Poisson convergence of eigenvalues of circulant type matrices ⋮ The periodogram at the Fourier frequencies ⋮ Spectral norm of circulant-type matrices ⋮ Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series ⋮ Limiting spectral distribution of random \(k\)-circulants ⋮ The asymptotic distribution of the condition number for random circulant matrices

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• THE DISTRIBUTION OF PERIODOGRAM ORDINATES
• Some asymptotic results for the periodogram of a stationary time series
• Convergence of stochastic processes

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