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Asymptotics for functionals of powers of a periodogram
Volume 1, Issue 2 (2014), pp. 181–194
Lyudmyla Sakhno  

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https://doi.org/10.15559/15-VMSTA15
Pub. online: 4 February 2015      Type: Research Article      Open accessOpen Access

Received
22 November 2014
Accepted
8 January 2015
Published
4 February 2015

Abstract

We present large sample properties and conditions for asymptotic normality of linear functionals of powers of the periodogram constructed with the use of tapered data.

References

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Anh, V.V., Leonenko, N.N., Sakhno, L.M.: Evaluation of bias in higher-order spectral estimation. Teor. Imovir. Mat. Stat. 80, 1–14 (2009); English edition: Theory Probab. Math. Stat. 80, 1–14 (2010) MR2541947
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Avram, F., Leonenko, N., Sakhno, L. On the generalized Szegö theorem, Hölder-Young-Brascamp-Lieb Inequality and the asymptotic theory of integrals and quadratic forms of stationary fields. ESAIM Probab. Stat. 14, 210–255 (2010) MR2741966. doi:10.1051/ps:2008031
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Sakhno, L.: Minimum contrast estimation of stationary processes based on the squared periodogram. Lith. Math. J. 52, 400–419 (2012) MR3001040. doi:10.1007/s10986-012-9183-3
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Keywords
Asymptotic normality periodogram tapered data

MSC2010
60F05 62M15 60G10

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