Empirical spectral processes and their applications to time series analysis

DOI10.1016/0304-4149(88)90076-2zbMath0655.60033OpenAlexW2009051438WikidataQ127213115 ScholiaQ127213115MaRDI QIDQ1109413

Rainer Dahlhaus

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90076-2

zbMATH Keywords

weak convergenceequicontinuitystrictly stationary Gaussian time series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Related Items (25)

Whittle estimation for continuous-time stationary state space models with finite second moments ⋮ Densities, spectral densities and modality. ⋮ Quantile spectral processes: asymptotic analysis and inference ⋮ Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ Spectra of bivariate \(\mathrm{VAR}(p)\) models ⋮ Discriminating between long-range dependence and non-stationarity ⋮ Empirical spectral processes for locally stationary time series ⋮ The integrated periodogram for long-memory processes with finite or infinite variance ⋮ Weak convergence of the function-indexed integrated periodogram for infinite variance processes ⋮ A Simple Test for White Noise in Functional Time Series ⋮ The periodogram at the Fourier frequencies ⋮ A test for stationarity based on empirical processes ⋮ Consistency of the frequency domain bootstrap for differentiable functionals ⋮ Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function ⋮ Locally adaptive estimation of evolutionary wavelet spectra ⋮ Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate ⋮ Convergence rates of posterior distributions for non iid observations ⋮ Minimum volume sets and generalized quantile processes ⋮ Uniform convergence of the empirical spectral distribution function ⋮ Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes ⋮ Testing non-parametric hypotheses for stationary processes by estimating minimal distances ⋮ Whittle estimation based on the extremal spectral density of a heavy-tailed random field ⋮ Empirical spectral processes for stationary state space models ⋮ The integrated periodogram of a dependent extremal event sequence ⋮ The integrated copula spectrum

Cites Work

• SPECTRAL ANALYSIS WITH TAPERED DATA
• On Estimation of the Spectral Function of a Stationary Gaussian Process
• Convergence of stochastic processes
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