ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

DOI10.1017/S026646660999051XzbMath1294.62077MaRDI QIDQ3580639

Wei-Biao Wu, Wei-Dong Liu

Publication date: 13 August 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Spectral Inference under Complex Temporal Dynamics, Quantile spectral processes: asymptotic analysis and inference, Asymptotic distribution of least squares estimators for linear models with dependent errors: regular designs, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, Adaptive bandwidth selection in the long run covariance estimator of functional time series, Dynamic factor models with infinite-dimensional factor space: asymptotic analysis, Fourier analysis of stationary time series in function space, Efficient semiparametric estimation in time-varying regression models, A note on quadratic forms of stationary functional time series under mild conditions, Trimmed stable AR(1) processes, Testing for changes in linear models using weighted residuals, Nonparametric testing for the specification of spatial trend functions, UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK, Tail adversarial stability for regularly varying linear processes and their extensions, ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES, On the asymptotic normality of kernel estimators of the long run covariance of functional time series, Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices, Testing Stability in Functional Event Observations with an Application to IPO Performance, Fourier Analysis of Serial Dependence Measures, On asymptotic distributions of weighted sums of periodograms, Detecting changes in functional linear models, Statistical inference of spectral estimation for continuous-time MA processes with finite second moments, Covariance matrix estimation for stationary time series, Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference, Inference of time-varying regression models, A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support, Extensions of some classical methods in change point analysis, Unsupervised Self-Normalized Change-Point Testing for Time Series, Sequential monitoring for changes from stationarity to mild non-stationarity, Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series, High-dimensional inference for linear model with correlated errors, Spectral analysis of high-dimensional time series, Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening, Structural breaks in time series, Simultaneous inference for autocovariances based on autoregressive sieve bootstrap, On the isotonic change-point problem, Testing equality of spectral densities using randomization techniques, On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime, ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Gaussian approximation of local empirical processes indexed by functions
• Asymptotic normality, strong mixing and spectral density estimates
• Functional limit theorems for random quadratic forms
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Probability of a large excursion of a nonstationary Gaussian process. I
• A central limit theorem for generalized quadratic forms
• Time series: theory and methods.
• On tail probabilities for martingales
• Block length selection in the bootstrap for time series
• Asymptotic distribution of quadratic forms
• Asymptotic spectral theory for nonlinear time series
• A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS
• Note on the Convergence to Normality of Quadratic forms in Independent Variables
• Non-strong mixing autoregressive processes
• On the Distribution of Some Statistical Estimates of Spectral Density
• A Law of Large Numbers for the Maximum in a Stationary Gaussian Sequence
• Consistency of kernel variance estimators for sums of semiparametric linear processes
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• Optimal Mean-Squared-Error Batch Sizes
• Nonlinear system theory: Another look at dependence
• Asymptotic properties of spectral estimates of second order
• The Maximum Deviation of Sample Spectral Densities
• Extreme Values in Samples from $m$-Dependent Stationary Stochastic Processes
• Large deviations of sums of independent random variables