Gaussian limit fields for the integrated periodogram

DOI10.1214/AOAP/1034968236zbMATH Open0866.60030OpenAlexW1990564279MaRDI QIDQ2564698FDOQ2564698

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

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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)

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• A multivariate descriptor method for change-point detection in nonlinear time series
• The integrated periodogram for long-memory processes with finite or infinite variance
• 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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