Asymptotic spectral theory for nonlinear time series

DOI10.1214/009053606000001479zbMath1147.62076arXivmath/0611029OpenAlexW3101688867MaRDI QIDQ2456020

Xiao-Feng Shao, Wei-Biao Wu

Publication date: 17 October 2007

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

Full work available at URL: https://arxiv.org/abs/math/0611029

zbMATH Keywords

Fourier transformcumulantsperiodogramlag window estimatorfrequency domain bootstrapspectral density estimatesgeometric moment contraction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Uses Software

• FinTS

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