On the properties of the periodogram of a stationary long‐memory process over different epochs with applications

Valdério A. Reisen, Eric Moulines, Philippe Soulier and Glaura C. Franco

Journal of Time Series Analysis, 2010, vol. 31, issue 1, 20-36

Abstract: This article studies the asymptotic properties of the discrete Fourier transforms (DFT) and the periodogram of a stationary long‐memory time series over different epochs. The main theoretical result is a novel bound for the covariance of the DFT ordinates evaluated on two distinct epochs, which depends explicitly on the Fourier frequencies and the gap between the epochs. This result is then applied to obtain the limiting distribution of some nonlinear functions of the periodogram over different epochs, under the additional assumption of gaussianity. We then apply this result to construct an estimator of the memory parameter based on the regression in a neighbourhood of the zero‐frequency of the logarithm of the averaged periodogram, obtained by computing the empirical mean of the periodogram over adjacent epochs. It is shown that replacing the periodogram by its average has an effect similar to the frequency domain pooling to reduce the variance of the estimate. We also propose a simple procedure to test the stationarity of the memory coefficient. A limited Monte Carlo experiment is presented to support our findings.

Date: 2010
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https://doi.org/10.1111/j.1467-9892.2009.00637.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:31:y:2010:i:1:p:20-36

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