A functional limit theorem for tapered empirical spectral functions

DOI10.1016/0304-4149(85)90045-6MaRDI QIDQ1060489zbMATH OpenOpenAlexFDO

Authors R. Dahlhaus

Publication date 1985

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(85)90045-6

zbMATH Keywords

functional limit theoremspectral estimatestightness of tapered empirical spectral functions

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Review text

The author shows the asymptotic normality of some spectral estimates and the tightness of tapered empirical spectral functions. Using elaborate bounds on cumulants he proves a functional limit theorem for the empirical spectral function under integrability conditions on spectra and shows that tapering increases the variance of estimates by a constant factor.

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Cited in

(11)

• Differencing as an approximate de-trending device
• Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
• Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
• Goodness-of-fit tests for stationary Gaussian processes with tapered data
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Statistical inference for stationary linear models with tapered data
• Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes
• TESTING EQUALITY OF VARIANCES FOR PAIRED TIME SERIES
• Approximate variances for tapered spectral estimates
• Design of frequency-domain experiments for discrete-valued factors
• Periodogram analysis with missing observations

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