An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series

DOI10.1016/0304-4149(94)00020-4zbMath0810.62023OpenAlexW2065371655MaRDI QIDQ1344955

Norma Terrin, Clifford M. Hurvich

Publication date: 20 April 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00020-4

zbMATH Keywords

long-range dependencespectral densitylog-periodogram regressionsemiparametricnormalized periodogramFourier frequenciesasymptotic joint distributionfractional ARMAWiener-Ito integralsgeneral long memory time serieslinear stationary time series

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)

Related Items (6)

Asymptotics for duration-driven long range dependent processes ⋮ Fourier transforms of stationary processes ⋮ Estimating fractional cointegration in the presence of polynomial trends ⋮ Central limit theorem for Fourier transforms of stationary processes ⋮ Asymptotic spectral theory for nonlinear time series ⋮ Quenched limit theorems for Fourier transforms and periodogram

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