Hashimzade, Nigar; Vogelsang, Timothy J. - In: Journal of Time Series Analysis 29 (2008) 1, pp. 142-162
We propose a new asymptotic approximation for the sampling behaviour of nonparametric estimators of the spectral density of a covariance stationary time series. According to the standard approach, the truncation lag grows more slowly than the sample size. We derive first-order limiting...