On maxima of periodograms of stationary processes

DOI10.1214/08-AOS590zbMATH Open1206.62017arXiv0801.1357OpenAlexW2962751786MaRDI QIDQ834359FDOQ834359

Authors: Zhengyan Lin, Weidong Liu 

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider the limit distribution of maxima of periodograms for stationary processes. Our method is based on $m$-dependent approximation for stationary processes and a moderate deviation result.

Full work available at URL: https://arxiv.org/abs/0801.1357

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zbMATH Keywords

\(m\)-dependent approximation

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (15)

• Central limit theorem for Fourier transforms of stationary processes
• On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
• The Maximum of the Periodogram of a Sequence of Functional Data
• Spectral norm of circulant-type matrices
• Product of exponentials and spectral radius of random \(k\)-circulants
• Testing for periodicity in functional time series
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• On stationarity of the periodic AGARCH processes
• Title not available (Why is that?)
• Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
• Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• Testing for seasonal means in time series data
• The asymptotic distribution of the condition number for random circulant matrices
• On the sinusoidal limit of stationary time series
• Covariance matrix estimation for stationary time series

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