Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices

DOI10.1111/jtsa.12580zbMath1476.62195OpenAlexW3113910952MaRDI QIDQ5012854

Dimitris N. Politis, Jiang Wang

Publication date: 25 November 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12580

zbMATH Keywords

spectral densitynonlinear time seriescovariance matrix estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Autoregressive spectral estimates under ignored changes in the mean

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Covariance matrix estimation for stationary time series
• On the range of validity of the autoregressive sieve bootstrap
• A bootstrap test for time series linearity
• A comparison of multivariate autoregressive estimators
• Time series: theory and methods.
• High-dimensional autocovariance matrices and optimal linear prediction
• Asymptotic spectral theory for nonlinear time series
• Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• An Asymptotic Result for the Finite Predictor.
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Adaptive bandwidth choice
• Time Series
• Nonlinear system theory: Another look at dependence

This page was built for publication: Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices