Uniform convergence of the empirical spectral distribution function

T. Mikosch and R. Norvaisa

Stochastic Processes and their Applications, 1997, vol. 70, issue 1, 85-114

Abstract: Let X be a linear process having a finite fourth moment. Assume is a class of square-integrable functions. We consider the empirical spectral distribution function Jn,X based on X and indexed by . If is totally bounded then Jn,X satisfies a uniform strong law of large numbers. If, in addition, a metric entropy condition holds, then Jn,X obeys the uniform central limit theorem.

Keywords: Linear; process; Stationary; sequence; Spectral; distribution; function; Empirical; spectral; distribution; function; Periodogram; Uniform; central; limit; theorem; Uniform; law; of; large; numbers (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (6)

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