Functional limit theory for the spectral covariance estimator

DOI10.2307/3214987zbMath1002.60531OpenAlexW2326712360MaRDI QIDQ3122871

Dominique Dehay, Jacek Leśkow

Publication date: 9 January 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214987

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

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Testing stationarity for stock market data ⋮ ASYMPTOTIC PROPERTY OF SPECTRAL DENSITY ESTIMATORS OF A CONTINUOUS TIME PROCESS ALMOST PERIODICALLY CORRELATED LOW DEPENDENT BY POISSON ⋮ Subsampling for continuous-time almost periodically correlated processes ⋮ Subsampling in testing autocovariance for periodically correlated time series ⋮ Consistency and application of moving block bootstrap for non-stationary time series with periodic and almost periodic structure ⋮ Discrete periodic sampling with jitter and almost periodically correlated processes ⋮ Estimation for almost periodic processes ⋮ Block Bootstrap for Poisson‐Sampled Almost Periodic Processes ⋮ Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series ⋮ The impact of stationarity assessment on studies of volatility and value-at-risk.

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