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

Kamal C. Chanda

Journal of Time Series Analysis, 2005, vol. 26, issue 1, 1-16

Abstract: Abstract. 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.

Date: 2005
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https://doi.org/10.1111/j.1467-9892.2005.00387.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:1:p:1-16

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