CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA

DOI10.1111/J.1467-9892.1995.TB00257.XMaRDI QIDQ4864581zbMATH OpenOpenAlexFDO

Authors Daniel Janas, Rainer von Sachs

Publication date 12 November 1996

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00257.x

zbMATH Keywords

consistencycontinuous spectrumdata taperEdgeworth expansionfinite Fourier transformnonlinear functionalspeak-insensitive spectrum estimatorperiodogramstationary time seriestime series

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Estimating nonlinear functions of the spectral density, using a data- taper
• Statistical estimation for stationary models with tapered data
• SPECTRAL ANALYSIS WITH TAPERED DATA
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Cites work

• Asymptotic expansions for sums of weakly dependent random vectors
• Asymptotic normality of spectral estimates
• Edgeworth expansions for spectral mean estimates with applications to Whittle estimates
• scientific article; zbMATH DE number 3550006 (Why is no real title available?)
• Nonparametric high resolution spectral estimation
• On estimation of the integrals of certain functions of spectral density
• Peak-insensitive parametric spectrum estimation
• Robust Estimation of a Location Parameter
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate

Cited in

(15)

• A functional limit theorem for tapered empirical spectral functions
• Estimating nonlinear functions of the spectral density, using a data- taper
• A powerful test based on tapering for use in functional data analysis
• Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance
• Statistical inference for stationary linear models with tapered data
• Mean-square estimation of nonlinear functionals via Kalman filtering
• Nonparametric tests of change-points with tapered data
• Discriminant analysis of time series in the presence of within-group spectral variability
• SPECTRAL ANALYSIS WITH TAPERED DATA
• A mean squared error criterion for time series data windows
• Nonlinear functionals of the periodogram
• Approximate variances for tapered spectral estimates
• Periodogram regression: a two-stage mixed effects approach for modelling multiple integer-valued time series of tropical cyclone frequency
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Moment bounds for non-linear functionals of the periodogram

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