Some results concerning the asymptotic distribution of sample fourier transforms and periodograms for a discrete-time stationary process with a continuous spectrum

Journal of Time Series Analysis

Volumn 21, Issue 1, 2000, Pages 95-109

  Walker, A M ^a  

^a UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039333351     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00175     Document Type: Article

References (11)

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7. HURVICH, C. M. and BELTRAO, K. J. (1993) Asymptotics for the Low-frequency Ordinates of the Periodogram of a Long-memory Time. Series. J. Time Series Anal. 4, 455-472.
8. _ and _ (1994) Automatic semi-parametric estimation of the memory parameter of a long-memory time series. J. Time Ser. Anal. 15, 285-302.
9. _, DEO, R. and BRODSKY, J. (1996) The mean square error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series. New York University Research Report SOR-96-1.
10. OLSHEN, R. (1967) Asymptotic properties of a stationary process. J. App. Prob. 4, 508-528.
11. YAJIMA, Y. (1989) Fourier transforms of strongly dependent stationary processes. J. Time Ser. Anal. 10, 375-383.