Asymptotic Normality, Strong Mixing and Spectral Density Estimates
Open Access
- 1 November 1984
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 12 (4) , 1167-1180
- https://doi.org/10.1214/aop/1176993146
Abstract
Asymptotic normality is proven for spectral density estimates assuming strong mixing and a limited number of moment conditions for the process analyzed. The result holds for a large class of processes that are not linear and does not require the existence of all moments.Keywords
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