The average periodogram for nonstationary vector time series

DOI10.1023/A:1009925202524zbMath0966.62061OpenAlexW2267394414MaRDI QIDQ5933674

Peter M. Robinson, Domenico Marinucci

Publication date: 17 August 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009925202524

zbMATH Keywords

fractional Brownian motionaveraged periodogramnon-stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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