On the convergence of the spectrum of finite order approximations of stationary time series

DOI10.1016/J.JMVA.2013.05.003MaRDI QIDQ2350656zbMATH OpenOpenAlexFDO

Authors Syamantak Datta Gupta, Peter W. Glynn, Ravi R. Mazumdar

Publication date 25 June 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2013.05.003

zbMATH Keywords

autoregressive estimatemoving average estimatespectral densitytime average variance constantwide sense stationary time seriesWold decomposition

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) (L^p)-limit theorems (60F25) Stationary stochastic processes (60G10) Stochastic processes (60G99) Asymptotic properties of parametric estimators (62F12) Linear inference, regression (62J99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
• scientific article; zbMATH DE number 3852259
• scientific article; zbMATH DE number 801096

Cited in

(4)

• scientific article; zbMATH DE number 4209418 (Why is no real title available?)
• ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM
• Autoregressive mixture models for clustering time series
• On the sinusoidal limit of stationary time series

This page was built for publication: On the convergence of the spectrum of finite order approximations of stationary time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2350656)