The periodogram of an i.i.d. sequence.

DOI10.1016/S0304-4149(00)00077-6zbMath1046.62097MaRDI QIDQ1879538

Philippe Soulier, Gilles Faÿ

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

functional central limit theoremEdgeworth expansionsperiodogramempirical spectral distribution function

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) Functional limit theorems; invariance principles (60F17)

Related Items

Residual log-periodogram inference for long-run relationships, Unit root log periodogram regression, Empirical spectral processes for locally stationary time series, Limit theorem for a smoothed version of the spectral test for testing the equiprobability of a binary sequence, The periodogram at the Fourier frequencies, Asymptotic spectral theory for nonlinear time series, The FEXP estimator for potentially non-stationary linear time series., Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series, Nonlinear functionals of the periodogram, The generalised autocovariance function

Cites Work

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• Weak convergence for weighted empirical processes of dependent sequences
• The empirical distribution of Fourier coefficients
• The periodogram at the Fourier frequencies
• The maximum of the periodogram of a non-Gaussian sequence.
• Gaussian semiparametric estimation of long range dependence
• THE DISTRIBUTION OF PERIODOGRAM ORDINATES
• Asymptotic expansions in the central limit theorem under moment conditions
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION