On Consistent Estimates of the Spectrum of a Stationary Time Series
From MaRDI portal
Publication:3249310
DOI10.1214/AOMS/1177706962zbMath0081.14102OpenAlexW2062831541WikidataQ96041399 ScholiaQ96041399MaRDI QIDQ3249310
Publication date: 1957
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177706962
Related Items (only showing first 100 items - show all)
Estimating the Spectral Density at Frequencies Near Zero ⋮ A higher-order correct fast moving-average bootstrap for dependent data ⋮ Higher autocumulant functions for ADCINAR(1) process and bias-correction of some estimators ⋮ Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices ⋮ HAR Inference: Recommendations for Practice ⋮ HAC Covariance Matrix Estimation in Quantile Regression ⋮ Spectral Inference under Complex Temporal Dynamics ⋮ Testing for adequacy of seasonal adjustment in the frequency domain ⋮ A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series ⋮ A robust test for serial correlation in panel data models ⋮ Markov chain Monte Carlo confidence intervals ⋮ Smoothed quantile regression for panel data ⋮ A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous ⋮ A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network ⋮ Jfon parametric time series analysis and prediction: uniform almost sure convergence of the window and jt-nn autoregression estimates ⋮ Generalized empirical likelihood tests in time series models with potential identification failure ⋮ Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators ⋮ OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION ⋮ Optimal difference-based variance estimators in time series: a general framework ⋮ Basic structure of the asymptotic theory in dynamic nonlinear econometric models ⋮ An invariance property of optimal spectral bandwidths ⋮ Effect of dependence on statistics for determination of change ⋮ On estimating the hidden periodicities in linear time series models ⋮ HAC estimation and strong linearity testing in weak ARMA models ⋮ ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES ⋮ Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments. ⋮ Asymptotic behavior of bootstrap spectral window estimation ⋮ Long run variance estimation and robust regression testing using sharp origin kernels with no truncation ⋮ Nonparametric spectrum estimation for spatial data ⋮ Nonlinear spectral density estimation: thresholding the correlogram ⋮ On flat-top kernel spectral density estimators for homogeneous random fields ⋮ Methods for computing numerical standard errors: review and application to value-at-risk estimation ⋮ Asymptotic confidence interval of power spectrum of a continuous time process through progressively faster sampling ⋮ Randomized consistent statistical inference for random processes and fields ⋮ Asymptotic theory of density estimation ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Mean stationarity test in time series: a signal variance-based approach ⋮ BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Peaks, gaps, and time‐reversibility of economic time series ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Higher‐Order Accurate Spectral Density Estimation of Functional Time Series ⋮ Time Series Source Separation Using Dynamic Mode Decomposition ⋮ Efficient estimation of spectral functionals for continuous-time stationary models ⋮ An alternative bootstrap to moving blocks for time series regression models ⋮ Some Fourier integral theorems ⋮ Statistical inference of spectral estimation for continuous-time MA processes with finite second moments ⋮ Optimal rates of convergence for estimating Toeplitz covariance matrices ⋮ Efficient estimation of general dynamic models with a continuum of moment conditions ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ Optimal properties of certain spectral density statistics ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ Asymptotics of trimmed CUSUM statistics ⋮ Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics ⋮ AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION ⋮ ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION ⋮ LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION ⋮ Asymptotic spectral theory for nonlinear time series ⋮ Inference about long run canonical correlations ⋮ Spectral based testing of the martingale hypothesis ⋮ On estimating linear functional of the covariance function of a stationary process ⋮ Spectral density estimation for linear processes with dependent innovations ⋮ Fourier trajectory analysis for system discrimination ⋮ Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends ⋮ Statistical inference for spatial statistics defined in the Fourier domain ⋮ Block Bootstraps for Time Series With Fixed Regressors ⋮ Kernel-weighted GMM estimators for linear time series models ⋮ Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel ⋮ Estimation of longrun variance of continuous time stochastic process using discrete sample ⋮ A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends ⋮ Estimation of spectral density for seasonal time series models ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA ⋮ On higher spectral densities of stationary processes with mixing ⋮ On discriminating between long-range dependence and changes in mean ⋮ A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support ⋮ A likelihood ratio test for spatial model selection ⋮ Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators ⋮ Spectral analysis for processes with almost periodic covariances ⋮ A bootstrap test for time series linearity ⋮ Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators ⋮ HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES ⋮ Cumulants of estimates of the spectrum of a stationary time series ⋮ Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation ⋮ A note on the stationary bootstrap's variance ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix ⋮ Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals ⋮ THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN ⋮ Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence ⋮ Estimation of second-order properties from jittered time series ⋮ On asymptotic quasi-likelihood estimation ⋮ On some moments and distributions occurring in the theory of linear stochastic process. II ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form ⋮ ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES ⋮ Feature extraction for functional time series: theory and application to NIR spectroscopy data ⋮ Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models ⋮ Computing Spectral Measures of Self-Adjoint Operators ⋮ Statistics of the spectral densities of stationary stochastic processes ⋮ Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices
This page was built for publication: On Consistent Estimates of the Spectrum of a Stationary Time Series