Gaussian limit fields for the integrated periodogram

DOI10.1214/AOAP/1034968236MaRDI QIDQ2564698zbMATH OpenOpenAlexFDO

Authors T. Mikosch, Claudia Klüppelberg

Publication date 8 July 1997

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1034968236

zbMATH Keywords

integrated periodogramKiefer processweak limitsdetecting changepointsmoving average sequences

Mathematics Subject Classification ID

Random fields (60G60) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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Cited in

(7)

• scientific article; zbMATH DE number 123661 (Why is no real title available?)
• The integrated periodogram for long-memory processes with finite or infinite variance
• A multivariate descriptor method for change-point detection in nonlinear time series
• The periodogram at the Fourier frequencies
• Uniform convergence of the empirical spectral distribution function
• An omnibus test for the time series model AR(1).
• Convergence of quadratic forms with nonvanishing diagonal

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