Functional limit theory for the spectral covariance estimator

DOI10.2307/3214987MaRDI QIDQ3122871zbMATH OpenOpenAlexFDO

Authors D. Dehay, Jacek Leśkow

Publication date 9 January 2003

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

Full work available at URL https://doi.org/10.2307/3214987

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(11)

• Testing stationarity for stock market data
• The impact of stationarity assessment on studies of volatility and value-at-risk.
• Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series
• Subsampling for continuous-time almost periodically correlated processes
• Consistency and application of moving block bootstrap for non-stationary time series with periodic and almost periodic structure
• Discrete periodic sampling with jitter and almost periodically correlated processes
• Estimation for almost periodic processes
• Subsampling in testing autocovariance for periodically correlated time series
• Asymptotic property of spectral density estimators of a continuous time process almost periodically correlated low dependent by Poisson
• Block bootstrap for Poisson-sampled almost periodic processes
• The dual frequency spectral density function of locally periodic stationary processes with an application to testing for correlation between different frequency bands of a time series

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