Asymptotic spectral theory for nonlinear time series

Details Asymptotic spectral theory for nonlinear time series Asymptotic spectral theory for nonlinear time series

2006-11-01

arxiv.org/abs/math/0611029v2

Annals of Statistics 2007, Vol. 35, No. 4, 1773-1801

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/009053606000001479 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000001479

We consider asymptotic problems in spectral analysis of stationary causal processes. Limiting distributions of periodograms and smoothed periodogram spectral density estimates are obtained and applications to the spectral domain bootstrap are given. Instead of the commonly used strong mixing conditions, in our asymptotic spectral theory we impose conditions only involving (conditional) moments, which are easily verifiable for a variety of nonlinear time series.

Affiliated with

Also associated with

No associations

Rating

Asymptotic spectral theory for nonlinear time series does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Asymptotic spectral theory for nonlinear time series, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Asymptotic spectral theory for nonlinear time series will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-292068