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

DOI10.1016/J.SPL.2005.04.035zbMath1067.62097OpenAlexW2030139799MaRDI QIDQ2387336

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

SpectrumFourier transformFrequency 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)

Cites Work

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• Time series properties of aggregate output fluctuations
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes

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