Moment bounds for non-linear functionals of the periodogram
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Publication:981008
DOI10.1016/j.spa.2010.02.007zbMath1191.62158arXiv0807.5096MaRDI QIDQ981008
Publication date: 8 July 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.5096
discrete Fourier transform; linear processes; periodogram; long range dependence; log-periodogram regression; Geweke and Porter-Hudak (GPH) estimator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
65T50: Numerical methods for discrete and fast Fourier transforms
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