Weak convergence of the function-indexed integrated periodogram for infinite variance processes

DOI10.3150/10-BEJ253zbMath1207.62173arXiv1011.5062MaRDI QIDQ627284

Gennady Samorodnitsky, Thomas Mikosch, Sami Umut Can

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.5062

zbMATH Keywords

entropytime serieslinear processspectral analysisasymptotic theorystable processempirical spectral distributionintegrated periodogramrandom quadratic formweighted integrated periodogram

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Discriminating between long-range dependence and non-stationarity ⋮ Weak convergence of the function-indexed integrated periodogram for infinite variance processes ⋮ Statistical inference for spatial statistics defined in the Fourier domain ⋮ Empirical spectral processes for stationary state space models

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