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SPECTRAL ANALYSIS WITH TAPERED DATA
Author(s) -
Dahlhaus Rainer
Publication year - 1983
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1983.tb00366.x
Subject(s) - mathematics , cumulant , series (stratigraphy) , normality , covariance , spectral analysis , asymptotic distribution , spectral function , function (biology) , covariance function , spectral method , class (philosophy) , spectral density estimation , statistics , mathematical analysis , fourier transform , estimator , paleontology , physics , quantum mechanics , evolutionary biology , artificial intelligence , spectroscopy , computer science , biology , condensed matter physics
. A new method based on an upper bound for spectral windows is presented for investigating the cumulants of time series statistics. Using this method two classical results are proved for tapered data. In particular, the asymptotic normality for a class of spectral estimates including estimates for the spectral function and the covariance function is proved under integrability conditions on the spectra using the method of cumulants.