Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series

Łukasz Lenart

doi:10.3150/10-BEJ269

Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series

Statistics Theory 2011-02-11 v1 Statistics Theory

Authors: Łukasz Lenart

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Abstract

The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated time series. We show the asymptotic normality of the spectral density estimator and the limiting distribution of a magnitude of coherence statistic for all points from the bifrequency square. The theoretical results hold under $\alpha$ -mixing and moment conditions.

Keywords

almost periodically correlated spectral density magnitude of coherence subsampling asymptotic distribution non-stationary time series

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@article{arxiv.1102.2064,
  title  = {Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series},
  author = {Łukasz Lenart},
  journal= {arXiv preprint arXiv:1102.2064},
  year   = {2011}
}

Comments

Published in at http://dx.doi.org/10.3150/10-BEJ269 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series

Abstract

Keywords

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