Empirical spectral processes for stationary state space models

Vicky Fasen-Hartmann and Celeste Mayer

Stochastic Processes and their Applications, 2023, vol. 155, issue C, 319-354

Abstract: In this paper, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivariate continuous-time ARMA processes. Thereby, the sampling distance is fixed and the driving Lévy process has at least a finite fourth moment. Under different assumptions on the function space and the moments of the driving Lévy process we derive a central limit theorem for the function-indexed normalized weighted integrated periodogram. Either the assumption on the function space or the assumption on the existence of moments of the Lévy process is weaker. Furthermore, we show the weak convergence in both the space of continuous functions and in the dual space to a Gaussian process and give an explicit representation of the covariance function. The results can be used to derive the asymptotic behavior of the Whittle estimator and to construct goodness-of-fit test statistics as the Grenander–Rosenblatt statistic and the Cramér–von Mises statistic. We present the exact limit distributions of both statistics and show their performance through a simulation study.

Keywords: Cramér–von Mises test; Empirical spectral process; Goodness of fit test; Grenander–Rosenblatt test; MCARMA process; State space model (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2022.10.008

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