6533b86cfe1ef96bd12c8938

RESEARCH PRODUCT

SPECTRAL ANALYSIS WITH TAPERED DATA

Rainer Dahlhaus

subject

Statistics and ProbabilityMathematical optimizationCovariance functionSeries (mathematics)Applied MathematicsAsymptotic distributionMaximum entropy spectral estimationUpper and lower boundsSpectral lineApplied mathematicsSpectral analysisStatistics Probability and UncertaintyCumulantMathematics

description

. A new method based on an upper bound for spectral windows is presented for investigating the cumulants of time series statistics. Using this method two classical results are proved for tapered data. In particular, the asymptotic normality for a class of spectral estimates including estimates for the spectral function and the covariance function is proved under integrability conditions on the spectra using the method of cumulants.

yearjournalcountryeditionlanguage
1983-05-01Journal of Time Series Analysis
https://doi.org/10.1111/j.1467-9892.1983.tb00366.x