Statistics of the spectral densities of stationary stochastic processes

DOI10.1007/BF00968066zbMATH Open0523.62080MaRDI QIDQ1056502FDOQ1056502

Authors I. G. Zhurbenko

Publication date 1982

Published in Siberian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityasymptotic propertiesbiasvariancestationary processesconfidence boundsmean square deviationGrenander-Rosenblatt type statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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• An Algorithm for the Machine Calculation of Complex Fourier Series
• Asymptotic properties of spectral estimates of second order
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes

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