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

DOI10.1214/AOS/1051027883zbMATH Open1039.62087OpenAlexW1964187860MaRDI QIDQ1429319FDOQ1429319

Authors: Soumendra N. 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

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zbMATH Keywords

stationaritylong-range dependenceasymptotic independencediscrete Fourier transform

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (25)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Asymptotics for duration-driven long range dependent processes
• Central limit theorem for Fourier transforms of stationary processes
• Local Whittle estimator for anisotropic random fields
• Asymptotic equivalence of spectral density estimation and Gaussian white noise
• Asymptotic spectral theory for nonlinear time series
• Issues in the estimation of mis-specified models of fractionally integrated processes
• Estimators of long-memory: Fourier versus wavelets
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• A frequency domain empirical likelihood for short- and long-range dependence
• Bayesian inference of mixed-effects ordinary differential equations models using heavy-tailed distributions
• Testing for the expected number of exceedances in strongly dependent seasonal time series
• A CLT for dependent random variables with an application to an infinite system of interacting diffusion processes
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• A data-driven test to compare two or multiple time series
• Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic
• Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
• On asymptotic distributions of weighted sums of periodograms
• Asymptotic normality of the discrete Fourier transform of long memory time series
• Local Whittle estimation of multi-variate fractionally integrated processes
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Some results concerning the asymptotic distribution of sample Fourier transforms and periodograms for a discrete-time stationary process with a continuous spectrum
• Nonstationarity-extended local Whittle estimation
• A frequency domain empirical likelihood method for irregularly spaced spatial data

Uses Software

• longmemo

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