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

DOI10.1016/J.JMVA.2013.05.003zbMATH Open1328.62519OpenAlexW1985317697MaRDI QIDQ2350656FDOQ2350656

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

spectral densityWold decompositionautoregressive estimatemoving average estimatetime average variance constantwide sense stationary time series

Mathematics Subject Classification ID

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

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