Some asymptotic results for the periodogram of a stationary time series
- 1 February 1965
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of the Australian Mathematical Society
- Vol. 5 (1) , 107-128
- https://doi.org/10.1017/s1446788700025921
Abstract
Let x1, x2,…, xn, be n consecutive observations generated by a stationary time series {x}, t = 0, ±1, ±2,…, with E(xt2) < ∈. The periodogram of the set of observations, which may be defined as a function In of angular frequency with range [0, π] that is proportional to , plays an important part in methods of making inferences about the structure of {xt}, particularly its spectral distribution function or spectral density.Keywords
This publication has 3 references indexed in Scilit:
- Analysis of Stationary Processes with Mixed Spectra—IiJournal of the Royal Statistical Society Series B: Statistical Methodology, 1962
- Testing for a Jump in the Spectral FunctionJournal of the Royal Statistical Society Series B: Statistical Methodology, 1961
- The simultaneous estimation of a time series harmonic components and covariance structureTrabajos de Estadistica, 1952