The periodogram at the Fourier frequencies

Piotr Kokoszka and Thomas Mikosch

Stochastic Processes and their Applications, 2000, vol. 86, issue 1, 49-79

Abstract: In the time series literature one can often find the claim that the periodogram ordinates of an iid sequence at the Fourier frequencies behave like an iid standard exponential sequence. We review some results about functions of these periodogram ordinates, including the convergence of extremes, point processes, the empirical distribution function and the empirical process. We show when the analogy with an iid exponential sequence is valid and study situations when it fails. Periodogram ordinates of an infinite variance iid sequence are also considered.

Keywords: Periodogram; Fourier; frequency; iid; sequence; Asymptotic; normality; Empirical; process; Point; process; Weyl's; theorem; Infinite; variance; process; Stable; distribution; Asymptotic; expansion; Functional; CLT (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(99)00086-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:86:y:2000:i:1:p:49-79

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().