Periodogram estimates from heavy-tailed data

MaRDI QIDQ4247106zbMATH OpenFDO

Authors T. Mikosch

Publication date 17 October 1999

zbMATH Keywords

asymptotic resultslinear processperiodogram

Mathematics Subject Classification ID

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

Recommendations

• The maximum of the periodogram for a heavy-tailed sequence.
• The integrated periodogram for stable processes
• Perturbed Periodogram Estimates of Variance
• The periodogram at the Fourier frequencies

Cited in

(12)

• The periodogram at the Fourier frequencies
• Discrete time parametric models with long memory and infinite variance
• The maximum of the periodogram for a heavy-tailed sequence.
• Empirical spectral processes for stationary state space models
• On BLU-estimation with data of different periodicity
• Quantile spectral processes: asymptotic analysis and inference
• Perturbed Periodogram Estimates of Variance
• Laplace Periodogram for Time Series Analysis
• scientific article; zbMATH DE number 165576 (Why is no real title available?)
• Quantile periodogram and time-dependent variance
• Weak convergence of the function-indexed integrated periodogram for infinite variance processes
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

This page was built for publication: Periodogram estimates from heavy-tailed data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4247106)