Asymptotic normality of spectral estimates

DOI10.1016/0047-259X(85)90028-4zbMath0579.62082MaRDI QIDQ1067335

Rainer Dahlhaus

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

normalityasymptoticSkorokhod topologymartingale differencesfunctional limit theoremperiodogramWeak convergencestrong mixing sequencescomplex-valued Gaussian random vectorempirical spectral functionphi-mixing sequencesreal valued weakly stationary time seriesspectral mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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