On the properties of the periodogram of a stationary long-memory process over different epochs with applications

DOI10.1111/j.1467-9892.2009.00637.xzbMath1224.62078OpenAlexW1590321398MaRDI QIDQ3077673

Philippe Soulier, Valdério Anselmo Reisen, Glaura C. Franco, Eric Moulines

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00637.x

zbMATH Keywords

spectral estimationaveraged periodogramlong-memory time seriesstationarity testperiodogram regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for discrete and fast Fourier transforms (65T50)

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