On a spectral density estimate obtained by averaging periodograms

DOI10.2307/3213863MaRDI QIDQ3703149zbMATH OpenOpenAlexFDO

Authors R. Dahlhaus

Publication date 1985

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

Full work available at URL https://doi.org/10.2307/3213863

zbMATH Keywords

asymptotic normalitycentral limit theoremmean square errorrates of convergencespectral density estimateaverage of periodogramsKolmogorov-Zhurbenko windowreal-valued stationary time seriesscale parameter windowstime- shift estimatorTukey-Hanning window

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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