Asymptotic theory for time series with changing mean and variance
نویسندگان
چکیده
منابع مشابه
Asymptotic Spectral Theory for Nonlinear Time Series
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Abstract: We consider asymptotic problems in spectral analysis of stationary causal processes. Limiting distributions of periodograms and smoothed periodogram spectral density estimates are obtained and applications to spectral domain bootstrap are made. Instead of the commonly used strong mixing conditions, in our asymptotic spectral theory we impose conditions only involving (conditional) mom...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2020
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2020.03.005