Asymptotic normality is proven for spectral density estimates assuming strong mixing and a limited number of moment conditions for the process analyzed. The result holds for a large class of processes that are not linear and does not require the existence of all moments.
Publié le : 1984-11-14
Classification:
Asymptotic normality,
strong mixing,
spectral density estimates,
cumulants,
nonlinear functions of Gaussian processes,
60F05,
62M15
@article{1176993146,
author = {Rosenblatt, M.},
title = {Asymptotic Normality, Strong Mixing and Spectral Density Estimates},
journal = {Ann. Probab.},
volume = {12},
number = {4},
year = {1984},
pages = { 1167-1180},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993146}
}
Rosenblatt, M. Asymptotic Normality, Strong Mixing and Spectral Density Estimates. Ann. Probab., Tome 12 (1984) no. 4, pp. 1167-1180. http://gdmltest.u-ga.fr/item/1176993146/