The maximum of the periodogram

Hong-Zhi An, Zhao-Guo Chen and E. J. Hannan

Journal of Multivariate Analysis, 1983, vol. 13, issue 3, 383-400

Abstract: Let x(t), t = 1,..., T, be generated by a zero mean stationary process and let I([omega]) = [Sigma]x(t)expit[omega]2/T be the periodogram. Under general conditions, and in particular assuming only a finite 2nd moment, it is shown that max[omega]I([omega])/{2[pi]f([omega])logT}

Keywords: Periodogram; trigonometric; polynomial; strong; convergence; law; of; the; iterated; logarith; regular (search for similar items in EconPapers)
Date: 1983
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Citations: View citations in EconPapers (16)

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