Statistical distributions of time series in the frequency domain and the patterns of violation of white noise conditions

DOI10.1016/J.SPL.2005.04.035MaRDI QIDQ2387336zbMATH OpenOpenAlexFDO

Authors Peijie Wang

Publication date 2 September 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.04.035

zbMATH Keywords

Fourier transformSpectrumFrequency domain

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
• Time series properties of aggregate output fluctuations

Cited in

(1)

• On random white noise processes with memory for time series analysis

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