Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence

Morten Nielsen

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We derive a functional central limit theorem for the empirical spectral measure or discretely averaged (integrated) periodogram of a multivariate long range dependent stochastic process in a degenerating neighborhood of the origin. We show that, under certain restrictions on the memory parameters, this local empirical spectral measure converges weakly to a Gaussian process with independent increments. Applications to narrow-band frequency domain estimation in time series regression with long range dependence, and to local (to the origin) goodness-of-fit testing are offered.

Keywords: Brownian Motion; Fractional ARIMA; Functional Central Limit Theorem; Goodness-of-fit Test; Integrated Periodogram; Long Memory; Narrow-band Frequency Domain Least Squares (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 (search for similar items in EconPapers)
Pages: 18
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://repec.econ.au.dk/repec/afn/wp/02/wp02_16.pdf (application/pdf)

Related works:
Journal Article: Local empirical spectral measure of multivariate processes with long range dependence (2004)
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:aah:aarhec:2002-16

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().