Uniform Convergence of Multivariate Spectral Density Estimates
Methodology
2015-05-15 v1
Abstract
We consider uniform moment convergence of lag-window spectral density estimates for univariate and multivariate stationary processes. Optimal rates of convergence are obtained under mild and easily verifiable conditions. Our theory complements earlier results which primarily concern weak or in-probability convergence.
Cite
@article{arxiv.1505.03659,
title = {Uniform Convergence of Multivariate Spectral Density Estimates},
author = {Wei Biao Wu and Paolo Zaffaroni},
journal= {arXiv preprint arXiv:1505.03659},
year = {2015}
}