THE DISTRIBUTION OF PERIODOGRAM ORDINATES

DOI10.1111/J.1467-9892.1980.TB00301.XMaRDI QIDQ3965459zbMATH OpenOpenAlexFDO

Authors Zhao-Guo Chen, E. J. Hannan

Publication date 1980

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1980.tb00301.x

zbMATH Keywords

asymptotic expansioncharacteristic functioncomplex empirical distributiondistribution of periodogramestimate of prediction error varianceFourier coefficientsspectrumstationary time series

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites work

• Estimation of the Innovation Variance of a Stationary Time Series
• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• The central limit theorem for time series regression
• The Estimation of the Prediction Error Variance

Cited in

(18)

• The maximum of the periodogram
• Estimation of the population spectrum with replicated time series.
• The periodogram at the Fourier frequencies
• The maximum of the periodogram of a non-Gaussian sequence.
• The maximum of the periodogram for a heavy-tailed sequence.
• The periodogram of an i.i.d. sequence.
• Semiparametric estimation of the long-range parameter
• Mean-square estimation of nonlinear functionals via Kalman filtering
• The generalised autocovariance function
• Asymptotic spectral theory for nonlinear time series
• Residual log-periodogram inference for long-run relationships
• MULTI-FREQUENTIAL PERIODOGRAM ANALYSIS AND THE DETECTION OF PERIODIC COMPONENTS IN TIME SERIES
• Spectral analysis with replicated time series
• Asymptotic spectral theory for spatial data
• Generalized autocovariance matrices for multivariate time series
• Periodogram regression: a two-stage mixed effects approach for modelling multiple integer-valued time series of tropical cyclone frequency
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Moment bounds for non-linear functionals of the periodogram

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