ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

被引：68

作者：

Liu, Weidong ^{[1
]}

Wu, Wei Biao ^{[2
]}

机构：

[1] Zhejiang Univ, Dept Math, Huangzhou, Zhejiang, Peoples R China

[2] Univ Chicago, Chicago, IL 60637 USA

来源：

ECONOMETRIC THEORY | 2010年 / 26卷 / 04期

关键词：

QUADRATIC-FORMS; ORIGIN KERNELS; LIMIT-THEOREM; TIME-SERIES; TRUNCATION; MAXIMUM;

D O I：

10.1017/S026646660999051X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider nonparametric estimation of spectral densities of stationary processes, a fundamental problem in spectral analysis of time series. Under natural and easily verifiable conditions, we obtain consistency and asymptotic normality of spectral density estimates. Asymptotic distribution of maximum deviations of the spectral density estimates is also derived. The latter result sheds new light on the classical problem of tests of white noises.

引用

页码：1218 / 1245

页数：28

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