SPECTRAL ANALYSIS WITH TAPERED DATA

Rainer Dahlhaus ()

Journal of Time Series Analysis, 1983, vol. 4, issue 3, 163-175

Abstract: Abstract. A new method based on an upper bound for spectral windows is presented for investigating the cumulants of time series statistics. Using this method two classical results are proved for tapered data. In particular, the asymptotic normality for a class of spectral estimates including estimates for the spectral function and the covariance function is proved under integrability conditions on the spectra using the method of cumulants.

Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:4:y:1983:i:3:p:163-175

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