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

DOI10.1111/J.1467-9892.1995.TB00257.XzbMATH Open0852.62088OpenAlexW2125450521MaRDI QIDQ4864581FDOQ4864581

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

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
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate

zbMATH Keywords

consistencytime seriesEdgeworth expansionstationary time seriesperiodogramfinite Fourier transformcontinuous spectrumnonlinear functionalsdata taperpeak-insensitive spectrum estimator

Mathematics Subject Classification ID

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

Cites Work

• Robust Estimation of a Location Parameter
• Asymptotic expansions for sums of weakly dependent random vectors
• Title not available (Why is that?)
• On estimation of the integrals of certain functions of spectral density
• Asymptotic normality of spectral estimates
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• Nonparametric high resolution spectral estimation
• Peak-insensitive parametric spectrum estimation
• Edgeworth expansions for spectral mean estimates with applications to Whittle estimates

Cited In (13)

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

This page was built for publication: CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4864581)