A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence

DOI10.1214/aos/1051027883zbMath1039.62087MaRDI QIDQ1429319

Soumendra Nath Lahiri

Publication date: 18 May 2004

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

Full work available at URL: https://doi.org/10.1214/aos/1051027883

zbMATH Keywords

discrete Fourier transform; stationarity; long-range dependence; asymptotic independence

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62M15: Inference from stochastic processes and spectral analysis

Related Items

Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion, TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain, Asymptotic equivalence of spectral density estimation and Gaussian white noise, Local Whittle estimator for anisotropic random fields, Central limit theorem for Fourier transforms of stationary processes, A frequency domain empirical likelihood for short- and long-range dependence, Asymptotic spectral theory for nonlinear time series

Uses Software

• longmemo

Cites Work

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