On the convergence of the spectrum of finite order approximations of stationary time series

DOI10.1016/j.jmva.2013.05.003zbMath1328.62519OpenAlexW1985317697MaRDI QIDQ2350656

Syamantak Datta Gupta, Peter W. Glynn, Ravi R. Mazumdar

Publication date: 25 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.05.003

zbMATH Keywords

spectral densityWold decompositionautoregressive estimatemoving average estimatetime average variance constantwide sense stationary time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99) Stationary stochastic processes (60G10) Stochastic processes (60G99) Time series analysis of dynamical systems (37M10) (L^p)-limit theorems (60F25)

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