文章基本信息

标题：The Averaged Periodogram for Nonstationary Vector Time Series
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作者：D Marinucci ; Peter M Robinson
期刊名称：Distributional Analysis Publications
印刷版ISSN：1352-2469
出版年度：2000
卷号：2000
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：Frequency domain statistics are studied in the presence of fractional deterministic and stochastic trends. It is shown how the behaviour of the sample variance-covariance matrix of nonstationary processes can be dominated by components corresponding to a possibly degenerating band around zero frequency. This property is used to establish the limiting distribution of the averaged periodogram matrix, of memory estimates for nonstationary series, and for frequency domain regression estimates under nonstandard conditions
关键词：Averaged periodogram; nonstationary processes; fractional ;Brownian motion