ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

Weidong Liu and Wei Biao Wu

Econometric Theory, 2010, vol. 26, issue 4, 1218-1245

Abstract: We consider nonparametric estimation of spectral densities of stationary processes, a fundamental problem in spectral analysis of time series. Under natural and easily verifiable conditions, we obtain consistency and asymptotic normality of spectral density estimates. Asymptotic distribution of maximum deviations of the spectral density estimates is also derived. The latter result sheds new light on the classical problem of tests of white noises.

Date: 2010
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