The periodogram regression:correction and comments

DOI10.1080/03610929508831670MaRDI QIDQ4337127zbMATH OpenOpenAlexFDO

Authors Uwe Hassler

Publication date 19 May 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831670

zbMATH Keywords

distribution of the periodogramfractionally integrated time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A CENTRAL LIMIT THEOREM OF FOURIER TRANSFORMS OF STRONGLY DEPENDENT STATIONARY PROCESSES
• Asymptotic normality of the discrete Fourier transform of long memory time series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• Discrimination between monotonic trends and long-range dependence
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(3)

• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• Amendments and corrections: ``Using the periodogram to estimate period in nonparametric regression
• Correction to: ``Estimating weak periodic vector autoregressive time series

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