On the Distribution of Some Statistical Estimates of Spectral Density

DOI10.1137/1127088MaRDI QIDQ3667806zbMATH OpenOpenAlexFDO

Authors R. Rudzkis, R. Yu. Bentkus

Publication date 1982

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1127088

zbMATH Keywords

asymptotic expansionsestimates of spectral densityGaussian seriesperiodogram

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(11)

• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• Edgeworth expansions for spectral mean estimates with applications to Whittle estimates
• Optimal rates of convergence for estimating Toeplitz covariance matrices
• On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
• Moderate deviations for quadratic forms in Gaussian stationary processes
• A limit theorem for quadratic forms and its applications
• Asymptotics of spectral density estimates
• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
• Theory of low frequency contamination from nonstationarity and misspecification: consequences for HAR inference

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