A frequency domain empirical likelihood for short- and long-range dependence
نویسندگان
چکیده
منابع مشابه
A frequency domain empirical likelihood for short- and long-range dependence∗ Short Title: Spectral empirical likelihood
This paper introduces a version of empirical likelihood based on the periodogram and spectral estimating equations. This formulation handles dependent data through a data transformation (i.e., Fourier transform) and is developed in terms of the spectral distribution rather than a time domain probability distribution. The asymptotic properties of frequency domain empirical likelihood are studied...
متن کاملA frequency domain empirical likelihood for short- and long-range dependence
This paper introduces a version of empirical likelihood based on the periodogram and spectral estimating equations. This formulation handles dependent data through a data transformation (i.e., a Fourier transform) and is developed in terms of the spectral distribution rather than a time domain probability distribution. The asymptotic properties of frequency domain empirical likelihood are studi...
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In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2006
ISSN: 0090-5364
DOI: 10.1214/009053606000000902