Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series

Details Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series

2011-02-10

arxiv.org/abs/1102.2064v1

Bernoulli 2011, Vol. 17, No. 1, 290-319

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ269 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ269

The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated time series. We show the asymptotic normality of the spectral density estimator and the limiting distribution of a magnitude of coherence statistic for all points from the bifrequency square. The theoretical results hold under $\alpha$-mixing and moment conditions.

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