Inference on periodograms of infinite dimensional discrete time periodically correlated processes

In this work we shall consider two classes of weakly second-order periodically correlated and strongly second-order periodically correlated processes with values in separable Hilbert spaces. The periodogram for these processes is introduced and its statistical properties are studied. In particular, it is proved that the periodogram is asymptotically unbiased for the spectral density of the processes, where the type of the convergence is fully specified.

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Year of publication:	2010
Authors:	Soltani, A.R. ; Shishebor, Z. ; Zamani, A.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 2, p. 368-373
Publisher:	Elsevier
Subject:	primary \| 60G57 Hilbert space-valued second-order processes Periodically correlated processes Finite Fourier transforms Periodogram

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521128