THE DISTRIBUTION OF PERIODOGRAM ORDINATES

DOI10.1111/J.1467-9892.1980.TB00301.XzbMath0499.62085OpenAlexW2112297175MaRDI QIDQ3965459

Zhao-Guo Chen, E. J. Hannan

Publication date: 1980

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00301.x

zbMATH Keywords

asymptotic expansioncharacteristic functionspectrumFourier coefficientsstationary time seriescomplex empirical distributiondistribution of periodogramestimate of prediction error variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Sums of independent random variables; random walks (60G50)

Related Items (17)

The maximum of the periodogram for a heavy-tailed sequence. ⋮ Residual log-periodogram inference for long-run relationships ⋮ The periodogram of an i.i.d. sequence. ⋮ Semiparametric estimation of the long-range parameter ⋮ MULTI-FREQUENTIAL PERIODOGRAM ANALYSIS AND THE DETECTION OF PERIODIC COMPONENTS IN TIME SERIES ⋮ Spectral analysis with replicated time series ⋮ Asymptotic spectral theory for spatial data ⋮ The periodogram at the Fourier frequencies ⋮ Asymptotic spectral theory for nonlinear time series ⋮ Moment bounds for non-linear functionals of the periodogram ⋮ Generalized autocovariance matrices for multivariate time series ⋮ The maximum of the periodogram of a non-Gaussian sequence. ⋮ Estimation of the population spectrum with replicated time series. ⋮ Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems ⋮ Mean-square estimation of nonlinear functionals via Kalman filtering ⋮ The maximum of the periodogram ⋮ The generalised autocovariance function

Cites Work

• The central limit theorem for time series regression
• The Estimation of the Prediction Error Variance
• Estimation of the Innovation Variance of a Stationary Time Series
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