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The maximum of the periodogram

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Author Info

  • An, Hong-Zhi
  • Chen, Zhao-Guo
  • Hannan, E. J.
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    Abstract

    Let x(t), t = 1,..., T, be generated by a zero mean stationary process and let I([omega]) = [Sigma]x(t)expit[omega]2/T be the periodogram. Under general conditions, and in particular assuming only a finite 2nd moment, it is shown that max[omega]I([omega])/{2[pi]f([omega])logT}

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 13 (1983)
    Issue (Month): 3 (September)
    Pages: 383-400

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    Handle: RePEc:eee:jmvana:v:13:y:1983:i:3:p:383-400

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    Related research

    Keywords: Periodogram trigonometric polynomial strong convergence law of the iterated logarith regular;

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    Cited by:
    1. Song, Kai-Sheng & Li, Ta-Hsin, 2000. "A statistically and computationally efficient method for frequency estimation," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 29-47, March.
    2. Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series /2003/452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Hidalgo, Javier, 2009. "Goodness of fit for lattice processes," Journal of Econometrics, Elsevier, vol. 151(2), pages 113-128, August.
    4. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
    5. Javier Hidalgo, 2003. "A bootstrap causality test for covariance stationary processes," LSE Research Online Documents on Economics 6848, London School of Economics and Political Science, LSE Library.
    6. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    7. Hidalgo, J., 2005. "A bootstrap causality test for covariance stationary processes," Journal of Econometrics, Elsevier, vol. 126(1), pages 115-143, May.
    8. Javier Hidalgo, 2003. "A Bootstrap Causality Test for Covariance Stationary Processes," STICERD - Econometrics Paper Series /2003/462, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
    10. Kokoszka, Piotr & Mikosch, Thomas, 2000. "The periodogram at the Fourier frequencies," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 49-79, March.
    11. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.

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