Nonlinear functionals of the periodogram

DOI10.1111/1467-9892.00277MaRDI QIDQ4677008zbMATH OpenOpenAlexFDO

Authors Gilles Faÿ, Philippe Soulier, Eric Moulines

Publication date 20 May 2005

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

Full work available at URL https://doi.org/10.1111/1467-9892.00277

zbMATH Keywords

Bartlett decompositioncentral limit theoremlinear processnonlinear functionalsperiodogram

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• The periodogram of an i.i.d. sequence.
• Moment bounds for non-linear functionals of the periodogram
• Asymptotic spectral theory for nonlinear time series
• On the integral of the squared periodogram
• CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA

Cites work

• Automatic Local Smoothing for Spectral Density Estimation
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• The periodogram of an i.i.d. sequence.

Cited in

(11)

• Impulse response functions for periodic integration
• Mean-square estimation of nonlinear functionals via Kalman filtering
• The generalised autocovariance function
• Convergence of quadratic forms with nonvanishing diagonal
• Representing periodic waveforms with nonorthogonal basis functions
• Using circulant symmetry to model featureless objects
• Generalized autocovariance matrices for multivariate time series
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Some nonlinear parameters of PP intervals of pulse main peaks
• Moment bounds for non-linear functionals of the periodogram

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