Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices

DOI10.1111/JTSA.12580zbMath1476.62195OpenAlexW3113910952MaRDI QIDQ5012854

Dimitris N. Politis, Jiang Wang

Publication date: 25 November 2021

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

Full work available at URL: https://doi.org/10.1111/jtsa.12580

zbMATH Keywords

spectral densitynonlinear time seriescovariance matrix estimation

Mathematics Subject Classification ID

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

Related Items (1)

Autoregressive spectral estimates under ignored changes in the mean

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