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

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)

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

Cites work

• scientific article; zbMATH DE number 3550006 (Why is no real title available?)
• 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
• 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

(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

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