Central limit theorem for Fourier transforms of stationary processes
Probability
2010-11-08 v3
Abstract
We consider asymptotic behavior of Fourier transforms of stationary ergodic sequences with finite second moments. We establish a central limit theorem (CLT) for almost all frequencies and also an annealed CLT. The theorems hold for all regular sequences. Our results shed new light on the foundation of spectral analysis and on the asymptotic distribution of periodogram, and it provides a nice blend of harmonic analysis, theory of stationary processes and theory of martingales.
Keywords
Cite
@article{arxiv.0910.3451,
title = {Central limit theorem for Fourier transforms of stationary processes},
author = {Magda Peligrad and Wei Biao Wu},
journal= {arXiv preprint arXiv:0910.3451},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AOP530 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)