The periodogram of an i.i.d. sequence
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References listed on IDEAS
- Kokoszka, Piotr & Mikosch, Thomas, 2000. "The periodogram at the Fourier frequencies," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 49-79, March.
- Velasco, Carlos, 2000.
"Non-Gaussian Log-Periodogram Regression,"
Cambridge University Press, vol. 16(01), pages 44-79, February.
- Velasco Gómez, Carlos, 1998. "Non-Gaussian log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4553, Universidad Carlos III de Madrid. Departamento de Estadística.
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- 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.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Proietti, Tommaso & Luati, Alessandra, 2015.
"The generalised autocovariance function,"
Journal of Econometrics,
Elsevier, vol. 186(1), pages 245-257.
- Tommaso, Proietti & Alessandra, Luati, 2012. "The Generalised Autocovariance Function," MPRA Paper 43711, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
- Masaki Narukawa & Yasumasa Matsuda, 2008. "Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach," TERG Discussion Papers 239, Graduate School of Economics and Management, Tohoku University.
- Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe, 2002. "The FEXP estimator for potentially non-stationary linear time series," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 307-340, February.
More about this item
KeywordsPeriodogram Functional central limit theorem Spectral empirical measure Edgeworth expansions;
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