Moment bounds for non-linear functionals of the periodogram

DOI10.1016/J.SPA.2010.02.007MaRDI QIDQ981008zbMATH OpenOpenAlexFDO

Authors Gilles Faÿ

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

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)

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.

Recommendations

• CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA
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• The periodogram of an i.i.d. sequence.
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES

Cites work

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• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
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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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