On probability measure generated by spectral density estimate

Authors

  • Pavle Mladenović Mathematical Faculty, Belgrade University, Studentski trg 16, 11000 Belgrade, YUGOSLAVIA Author

Keywords:

Stationary time series, spectral density, periodogram based estimate, cumulant spectral densities, weak convergence

Subjects:

62M15, 60G10, 60G15

Abstract

We study the periodogram based estimate of spectral density of a strictly stationary random sequence and consider this estimate as a random function on the whole domain of frequency.We renormalize the scale in this domain and investigate the probability measure generated by obtained process in the space of continuous functions.

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Published

1995-04-15

Issue

Vol. 47 No. 1–2 (1995): Vol. 47, Issue 1–2

Section

Articles

License

Copyright (c) 1995 Authors retain copyright to their work.

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.