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Some asymptotic results for the periodogram of a stationary time series

Published online by Cambridge University Press:  09 April 2009

A. M. Walker
A. M. Walker
Affiliation:
University of Cambridge and Institute of Advanced Studies, Australian National University.
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Let x1, x2,…, xn, be n consecutive observations generated by a stationary time series {x}, t = 0, ±1, ±2,…, with E(xt2) < ∈. The periodogram of the set of observations, which may be defined as a function In of angular frequency with range [0, π] that is proportional to , plays an important part in methods of making inferences about the structure of {xt}, particularly its spectral distribution function or spectral density.

Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 5 , Issue 1 , February 1965 , pp. 107 - 128
Copyright
Copyright © Australian Mathematical Society 1965

References

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