Large sample properties of spectral estimators for a class of stationary nonlinear processes

We consider the standard spectral estimators based on a sample from a class of strictly stationary nonlinear processes which include, in particular, the bilinear and Volterra processes. It is shown that these estimators, under certain mild regularity conditions are both consistent and asymptotically normal. Copyright 2005 Blackwell Publishing Ltd.

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Year of publication:	2005
Authors:	Chanda, Kamal C.
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 26.2005, 1, p. 1-16
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005161538