The integrated periodogram for long-memory processes with finite or infinite variance

We derive functional limit theorems for the integrated periodogram of linear processes whose innovations may have finite or infinite variance, and which may exhibit long memory. The results are applied to obtain corresponding Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit tests.

MoreLess

Year of publication:	1997
Authors:	Kokoszka, P. ; Mikosch, T.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 66.1997, 1, p. 55-78
Publisher:	Elsevier
Keywords:	Integrated periodogram Long memory Heavy tails Functional limit theorems Goodness-of-fit tests Fractional ARIMA

More details

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

Persistent link: https://www.econbiz.de/10008873883