The periodogram of an i.i.d. sequence.
Let \(\{Z_ t\}\) be an i.i.d. sequence such that \(EZ_ t=0\) and \(EZ_ t^ 2 =1\). Define \[ d_ n(x)=(2\pi n)^ {-1/2}\sum _ {t=1}^ n Z_ t e^ {itx} \quad\text{and}\quad \widetilde n=[(n-1)/2]. \] The periodogram is \(I_ n(x)=| d_ n(x)| ^ 2\) and the Fourier frequences are \(x_ k=2\pi k/n\) for \(k=1,\dots ,\widetilde n\). Consider a function \(\phi \) and real numbers \(\beta _ {n,k}\) such that \(\sum _ {k=1} ^ {\widetilde n} \beta _ {n,k}^ 2 =1\). If \(\{Z_ t\}\) is Gaussian then under some general conditions the random variable \(S_ n(\phi )=\sum _ {k=1} ^ {\widetilde n}\beta _ {n,k} \phi [2\pi I_ n(x_ k)]\) is asymptotically normal. The authors present theory for asymptotics of weighted sums of nonlinear functionals of the periodogram of an i.i.d. sequence. They show that the sums are asymptotically normal under conditions close to those which are sufficient in the Gaussian case. The theory includes also a functional central limit theorem for the empirical spectral distribution function \[ \widehat F_ n(x) = {\widetilde n}^ {-1} \sum _ {k=1} ^ {\widetilde n}{\mathbf 1}_ {[0,x]} [2\pi I_ n(x{_ k})], \quad x\geq 0. \] The main tool in deriving the results are Edgeworth expansions for moments of smooth functions.
- Asymptotic expansions in the central limit theorem under moment conditions
- Gaussian semiparametric estimation of long range dependence
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 3517666 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3338262 (Why is no real title available?)
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- THE DISTRIBUTION OF PERIODOGRAM ORDINATES
- The empirical distribution of Fourier coefficients
- The maximum of the periodogram of a non-Gaussian sequence.
- The periodogram at the Fourier frequencies
- Weak convergence for weighted empirical processes of dependent sequences
- The periodogram at the Fourier frequencies
- The FEXP estimator for potentially non-stationary linear time series.
- The maximum of the periodogram of a non-Gaussian sequence.
- The generalised autocovariance function
- On asymptotic distributions of weighted sums of periodograms
- Asymptotic spectral theory for nonlinear time series
- Gaussian limit fields for the integrated periodogram
- Residual log-periodogram inference for long-run relationships
- Unit root log periodogram regression
- On the distribution of the periodogram for stationary random sequences
- Nonlinear functionals of the periodogram
- 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
- White noise testing using wavelets
- Generalized autocovariance matrices for multivariate time series
- Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
- Moment bounds for non-linear functionals of the periodogram
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