Rates of convergence and optimal spectral bandwidth for long range dependence

DOI10.1007/BF01199901MaRDI QIDQ1333578zbMATH OpenOpenAlexFDO

Authors Peter M. Robinson

Publication date 21 November 1994

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01199901

zbMATH Keywords

discrete average of the periodogramrate of convergencespectral densityspectral density estimatesstationary discrete time process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Density estimation (62G07) Inference from stochastic processes and spectral analysis (62M15)

Review text

For a realization of length \(n\) from a covariance stationary discrete time process with spectral density which behaves like \(\lambda^{1-2H}\) as \(\lambda \to 0 +\) for \({1 \over 2} < H < 1\) (apart from a slowly varying factor which may be of unknown form), we consider a discrete average of the periodogram across the frequencies \(2 \pi j/n\), \(j = 1, \dots, m\), where \(m \to \infty\) and \(m/n \to 0\) as \(n \to \infty\). We study the rate of convergence of an analogue of the mean squared error of smooth spectral density estimates, and deduce an optimal choice of \(m\).

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Cites work

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Cited in

(36)

• Local Whittle estimator for anisotropic random fields
• Optimal spectral kernel for long-range dependent time series
• Non-stationary log-periodogram regression
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