Empirical spectral processes and their applications to time series analysis

Rainer Dahlhaus ()

Stochastic Processes and their Applications, 1988, vol. 30, issue 1, 69-83

Abstract: This paper is concerned with the estimation of the spectral measure of a stationary process. Empirical spectral processes indexed by classes of functions are considered and an equicontinuity condition and a weak convergence result for the resulting spectral process are proved. Furthermore, some applications to time series analysis are given.

Keywords: empirical; spectral; measure; functional; limit; theorem; Vapnik; Cervonenkis; classes; time; series; analysis (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (14)

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