Asymptotics for autocovariances and integrated periodograms for linear processes observed at lower frequencies

DOI10.1111/INSR.12019MaRDI QIDQ4968587zbMATH OpenOpenAlexFDO

Authors Tobias Niebuhr, Jens-Peter Kreiß

Publication date 16 July 2019

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/insr.12019

zbMATH Keywords

bootstrapautocovarianceweak convergenceintegrated periodogramlinear processBartlett's formula

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(6)

• A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
• Spectral methods for small sample time series: A complete periodogram approach
• Statistical inference for spatial statistics defined in the Fourier domain
• Assessing Variability of Complex Descriptive Statistics in Monte Carlo Studies Using Resampling Methods
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• Bootstrapping continuous-time autoregressive processes

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