Asymptotic properties of the periodogram of a discrete stationary process
- 1 November 1967
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 4 (3) , 508-528
- https://doi.org/10.2307/3212218
Abstract
Suppose x1,…, xN are indefinitely many observations on a stochastic process which is weakly stationary with spectral density f(λ), – π ≦ λ ≦ π. An asymptotically unbiased, and to that extent plausible, estimate of 4rf(λ)is the periodogram Yet the periodograms of processes which possess spectral densities are notoriously subject to erratic behavior.Keywords
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