The integrated periodogram for stable processes
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Publication:1354493
DOI10.1214/aos/1069362301zbMath0898.62116MaRDI 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
frequency domain; quadratic form; goodness-of-fit tests; functional limit theorem; moving average process; integrated periodogram; alpha-stable linear processes
62G07: Density estimation
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
60F17: Functional limit theorems; invariance principles
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