On a spectral density estimate obtained by averaging periodograms

DOI10.2307/3213863zbMath0581.62078OpenAlexW2086189195MaRDI QIDQ3703149

Rainer Dahlhaus

Publication date: 1985

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

Full work available at URL: https://doi.org/10.2307/3213863

zbMATH Keywords

asymptotic normalityrates of convergencecentral limit theoremmean square errorspectral density estimateaverage of periodogramsKolmogorov-Zhurbenko windowreal-valued stationary time seriesscale parameter windowstime- shift estimatorTukey-Hanning window

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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