Search Results - subject:"Integrated periodogram"

Testing semiparametric hypotheses in locally stationary processes

Vetter, Mathias; Dette, Holger - 2011

Persistent link: https://www.econbiz.de/10009153837

A functional data based method for time series classification

Alonso, Andrés M.; Casado, David; Pintado, Sara López; … - Departamento de Estadistica, Universidad Carlos III de … - 2009

We propose using the integrated periodogram to classify time series. The method assigns a new element to the group … minimizing the distance from the integrated periodogram of the element to the group mean of integrated periodograms. Local …

Persistent link: https://www.econbiz.de/10005417130

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Giraitis, Liudas; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. The concept of stationarity is refined, allowing for sample size dependence in the array and paying special attention to the rate at which the boundary unit root case is...

Persistent link: https://www.econbiz.de/10005593612

Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence

Nielsen, Morten Oe. - School of Economics and Management, University of Aarhus

We derive a functional central limit theorem for the empirical spectral measure or discretely averaged (integrated …) periodogram of a multivariate long range dependent stochastic process in a degenerating neighborhood of the origin. We show that … central limit theorem for the empirical spectral measure or discretely averaged (integrated) periodogram of a multivariate …

Persistent link: https://www.econbiz.de/10005114038