Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence

Morten Ørregaard Nielsen ()

Economics Working Papers from School of Economics and Management, University of Aarhus

Abstract: 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, under certain restrictions on the memory parameters, this local empirical spectral measure converges weakly to a Gaussian process with independent increments. Applications to narrow-band frequency domain estimation in time series regression with long range dependence, and to local (to the origin) goodness-of-fit testing are offered.

Keywords: Brownian Motion; Fractional ARIMA; Functional Central Limit Theorem; Goodness-of-fit Test; Integrated Periodogram; Long Memory; Narrow-band Frequency Domain Least Squares (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
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Persistent link: http://EconPapers.repec.org/RePEc:aah:aarhec:2002-16

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