The periodogram at the Fourier frequencies

P. Kokoszka, T. Mikosch

    Research output: Contribution to journalArticleAcademicpeer-review

    11 Citations (Scopus)

    Abstract

    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
    Volume86
    Issue number1
    DOIs
    Publication statusPublished - 2000

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