THE DISTRIBUTION OF PERIODOGRAM ORDINATES

DOI10.1111/J.1467-9892.1980.TB00301.XzbMATH Open0499.62085OpenAlexW2112297175MaRDI QIDQ3965459FDOQ3965459

Authors: Zhao-Guo Chen, E. J. Hannan 

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00301.x

zbMATH Keywords

characteristic functionasymptotic expansionstationary time seriesFourier coefficientsspectrumcomplex empirical distributiondistribution of periodogramestimate of prediction error variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Sums of independent random variables; random walks (60G50)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The central limit theorem for time series regression
• Estimation of the Innovation Variance of a Stationary Time Series
• The Estimation of the Prediction Error Variance

Cited In (17)

• Residual log-periodogram inference for long-run relationships
• Mean-square estimation of nonlinear functionals via Kalman filtering
• Spectral analysis with replicated time series
• Moment bounds for non-linear functionals of the periodogram
• Semiparametric estimation of the long-range parameter
• The maximum of the periodogram
• Asymptotic spectral theory for spatial data
• Asymptotic spectral theory for nonlinear time series
• The maximum of the periodogram for a heavy-tailed sequence.
• The periodogram of an i.i.d. sequence.
• The periodogram at the Fourier frequencies
• The maximum of the periodogram of a non-Gaussian sequence.
• MULTI-FREQUENTIAL PERIODOGRAM ANALYSIS AND THE DETECTION OF PERIODIC COMPONENTS IN TIME SERIES
• Estimation of the population spectrum with replicated time series.
• The generalised autocovariance function
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Generalized autocovariance matrices for multivariate time series

This page was built for publication: THE DISTRIBUTION OF PERIODOGRAM ORDINATES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3965459)