ON THE COVARIANCE OF THE PERIODOGRAM

Harald E. Krogstad

Journal of Time Series Analysis, 1982, vol. 3, issue 3, 195-207

Abstract: Abstract. The paper discusses the covariance of the periodogram from a zero mean fourth order stationary stochastic process. The fourth order cumulant term appearing in the covariance is shown to be a convolution between the fourth order cumulant spectrum and a bounded approximate identity, and this gives precise results about its asymptotic behaviour. The covariance is also studied both pointwise and as a measure of two variables. This leads to necessary and sufficient conditions for mean square consistency of estimates of the spectral moments and related parameters.

Date: 1982
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1982.tb00342.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:3:y:1982:i:3:p:195-207

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().