The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated time series. We show the asymptotic normality of the spectral density estimator and the limiting distribution of a magnitude of coherence statistic for all points from the bifrequency square. The theoretical results hold under α-mixing and moment conditions.
Publié le : 2011-02-15
Classification:
α-mixing properties,
almost periodically correlated time series,
consistency,
spectral analysis,
subsampling
@article{1297173844,
author = {Lenart, \L ukasz},
title = {Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series},
journal = {Bernoulli},
volume = {17},
number = {1},
year = {2011},
pages = { 290-319},
language = {en},
url = {http://dml.mathdoc.fr/item/1297173844}
}
Lenart, Łukasz. Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series. Bernoulli, Tome 17 (2011) no. 1, pp. 290-319. http://gdmltest.u-ga.fr/item/1297173844/