The integrated periodogram for long-memory processes with finite or infinite variance

P. Kokoszka and T. Mikosch

Stochastic Processes and their Applications, 1997, vol. 66, issue 1, 55-78

Abstract: We derive functional limit theorems for the integrated periodogram of linear processes whose innovations may have finite or infinite variance, and which may exhibit long memory. The results are applied to obtain corresponding Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit tests.

Keywords: Integrated; periodogram; Long; memory; Heavy; tails; Functional; limit; theorems; Goodness-of-fit; tests; Fractional; ARIMA (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (15)

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