Moment bounds for non-linear functionals of the periodogram

DOI10.1016/J.SPA.2010.02.007zbMATH Open1191.62158arXiv0807.5096OpenAlexW1979702566MaRDI QIDQ981008FDOQ981008

Authors: Gilles Faÿ 

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we prove the validity of the Edgeworth expansion of the Discrete Fourier transforms of some linear time series. This result is applied to approach moments of non linear functionals of the periodogram. As an illustration, we give an expression of the mean square error of the Geweke and Porter-Hudak estimator of the long memory parameter. We prove that this estimator is rate optimal, extending the result of Giraitis, Robinson, Samarov (1997) from Gaussian to linear processes.

Full work available at URL: https://arxiv.org/abs/0807.5096

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zbMATH Keywords

periodogramdiscrete Fourier transformlinear processeslong range dependencelog-periodogram regressionGeweke and Porter-Hudak (GPH) estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cited In (3)

• Nonlinear functionals of the periodogram
• Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes

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