On the integral of the squared periodogram
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References listed on IDEAS
- Redmond, C. & Yukich, J. E., 1996. "Asymptotics for Euclidean functionals with power-weighted edges," Stochastic Processes and their Applications, Elsevier, vol. 61(2), pages 289-304, February.
- Lee, Sungchul, 1999. "Asymptotics of power-weighted Euclidean functionals," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 109-116, January.
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- Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
- Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
- Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
- Faÿ, Gilles, 2010. "Moment bounds for non-linear functionals of the periodogram," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 983-1009, June.
- McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
- Soulier, Philippe, 2001. "Moment bounds and central limit theorem for functions of Gaussian vectors," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 193-203, September.
More about this item
KeywordsPeriodogram Non-linear functions Box-Pierce statistic Goodness-of-fit;
StatisticsAccess and download statistics
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