Spectral density estimation for linear processes with dependent innovations

Nadia Bensaïd and Ouafae Yazourh-Benrabah

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1601-1611

Abstract: This paper considers the problem of estimating the spectral density of a linear process whose innovations are uncorrelated and strongly mixed. We prove that the Periodogram ordinates In([lambda]i) at any set of frequencies [lambda]1,...,[lambda]m,0

Date: 2008
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