Asymptotic normality of the discrete Fourier transform of long memory time series

DOI10.1016/0167-7152(94)00023-9zbMath0805.62088MaRDI QIDQ1341361

Dominique Guégan, Phm Dinh Tuan

Publication date: 9 January 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00023-9

zbMATH Keywords

discrete Fourier transform; spectral density; spectrum estimation; time-series; long-range memory processes; short-range memory

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62M15: Inference from stochastic processes and spectral analysis

Related Items

The periodogram regression:correction and comments, A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence

Cites Work

• On estimation of a regression model with long-memory stationary errors
• The central limit theorem for time series regression
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• On large-sample estimation for the mean of a stationary random sequence
• A CENTRAL LIMIT THEOREM OF FOURIER TRANSFORMS OF STRONGLY DEPENDENT STATIONARY PROCESSES
• Unnamed Item