THE DISTRIBUTION OF PERIODOGRAM ORDINATES

DOI10.1111/J.1467-9892.1980.TB00301.XMaRDI QIDQ3965459zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Estimation of the Innovation Variance of a Stationary Time Series
• The Estimation of the Prediction Error Variance
• The central limit theorem for time series regression

Cited in

(17)

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

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