ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES

DOI10.1017/S0266466617000068zbMath1441.62244MaRDI QIDQ4599615

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Publication date: 4 January 2018

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (12)

Spectral Inference under Complex Temporal Dynamics ⋮ Estimation of linear functional of large spectral density matrix and application to Whittle's approach ⋮ Dynamic factor models with infinite-dimensional factor space: asymptotic analysis ⋮ Time-varying general dynamic factor models and the measurement of financial connectedness ⋮ Inferential theory for generalized dynamic factor models ⋮ An Algebraic Estimator for Large Spectral Density Matrices ⋮ A frequency domain bootstrap for general multivariate stationary processes ⋮ Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices ⋮ Graphical models for nonstationary time series ⋮ Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals ⋮ Principal Component Analysis of High-Frequency Data ⋮ On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

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