On asymptotic distributions of weighted sums of periodograms

DOI10.3150/12-BEJ456zbMath1280.62112arXiv1312.4691OpenAlexW2136208097MaRDI QIDQ2435247

Hira L. Koul, Liudas Giraitis

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4691

zbMATH Keywords

quadratic formslinear processesBartlett approximationLindeberg-Feller

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Quantile spectral processes: asymptotic analysis and inference, Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions, An Unbiased Measure of Integrated Volatility in the Frequency Domain

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