The periodogram at the Fourier frequencies

P. Kokoszka, T. Mikosch

Research output: Contribution to journalArticleAcademicpeer-review

14 Citations (Scopus)


In the time series literature one can often find the claim that the periodogram ordinates of an iid sequence at the Fourier frequencies behave like an iid standard exponential sequence. We review some results about functions of these periodogram ordinates, including the convergence of extremes, point processes, the empirical distribution function and the empirical process. We show when the analogy with an iid exponential sequence is valid and study situations when it fails. Periodogram ordinates of an infinite variance iid sequence are also considered.
Original languageEnglish
Pages (from-to)49-79
JournalStochastic Processes and their Applications
Issue number1
Publication statusPublished - 2000


Dive into the research topics of 'The periodogram at the Fourier frequencies'. Together they form a unique fingerprint.

Cite this