Asymptotic normality of spectral estimates


The asymptotic normality of some spectral estimates, including a functional central limit theorem for an estimate of the spectral distribution function, is proved for fourth-order stationary processes. In contrast to known results it is not assumed that all moments exist or that the process is linear. The data are allowed to be tapered. Using some recent results on the central limit theorem for stationary processes, corollaries are obtained for strong and [phi]-mixing sequences and linear transformations of martingale differences.periodogram empirical spectral function asymptotic normality functional limit theorem

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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