The integrated periodogram for stable processes

DOI10.1214/aos/1069362301zbMath0898.62116OpenAlexW2045779752MaRDI QIDQ1354493

Thomas Mikosch, Claudia Klüppelberg

Publication date: 3 November 1998

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1069362301

zbMATH Keywords

frequency domainquadratic formgoodness-of-fit testsfunctional limit theoremmoving average processintegrated periodogramalpha-stable linear processes

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

Related Items (22)

Nonparametric regression under dependent errors with infinite variance ⋮ On multivariate nonlinear regression models with stationary correlated errors ⋮ Variance change point detection for fractional Brownian motion based on the likelihood ratio test ⋮ The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables ⋮ The integrated periodogram for long-memory processes with finite or infinite variance ⋮ An empirical likelihood approach for symmetric \(\alpha\)-stable processes ⋮ Robust parameter estimation for stationary processes by an exotic disparity from prediction problem ⋮ Weak convergence of the function-indexed integrated periodogram for infinite variance processes ⋮ The periodogram at the Fourier frequencies ⋮ Functional central limit theorems for self-normalized partial sums of linear processes ⋮ Empirical likelihood approach toward discriminant analysis for dynamics of stable processes ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ A central limit theorem for self-normalized sums of a linear process ⋮ Discriminant analysis for dynamics of stable processes ⋮ Cluster Analysis for Stable Processes ⋮ Rank tests of unit root hypothesis with infinite variance errors ⋮ Robust causality test of infinite variance processes ⋮ Gaussian limit fields for the integrated periodogram ⋮ Empirical spectral processes for stationary state space models ⋮ The integrated periodogram of a dependent extremal event sequence ⋮ The integrated copula spectrum ⋮ Distribution free goodness-of-fit tests for linear processes

This page was built for publication: The integrated periodogram for stable processes