On maxima of periodograms of stationary processes

DOI10.1214/08-AOS590MaRDI QIDQ834359zbMATH OpenOpenAlexFDO

Authors Zhengyan Lin, Weidong Liu

Publication date 19 August 2009

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

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

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)

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.

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Cited in

(15)

• Testing for seasonal means in time series data
• On stationarity of the periodic AGARCH processes
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• Product of exponentials and spectral radius of random \(k\)-circulants
• Testing for periodicity in functional time series
• Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
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