18,996 research outputs found
Asymptotic spectral theory for nonlinear time series
We consider asymptotic problems in spectral analysis of stationary causal
processes. Limiting distributions of periodograms and smoothed periodogram
spectral density estimates are obtained and applications to the spectral domain
bootstrap are given. Instead of the commonly used strong mixing conditions, in
our asymptotic spectral theory we impose conditions only involving
(conditional) moments, which are easily verifiable for a variety of nonlinear
time series.Comment: Published in at http://dx.doi.org/10.1214/009053606000001479 the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
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