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Large sample properties of spectral estimators for a class of stationary nonlinear processes

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  • Kamal C. Chanda

Abstract

. We consider the standard spectral estimators based on a sample from a class of strictly stationary nonlinear processes which include, in particular, the bilinear and Volterra processes. It is shown that these estimators, under certain mild regularity conditions are both consistent and asymptotically normal.

Suggested Citation

  • Kamal C. Chanda, 2005. "Large sample properties of spectral estimators for a class of stationary nonlinear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 1-16, January.
    • Handle: RePEc:bla:jtsera:v:26:y:2005:i:1:p:1-16
    DOI: 10.1111/j.1467-9892.2005.00387.x
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    References listed on IDEAS

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    1. Kamal C. Chanda, 1991. "Stationarity And Central Limit Theorem Associated With Bilinear Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(4), pages 301-313, July.
    2. Chanda, K. C., 1993. "Asymptotic Properties of Serial Covariances for Nonlinear Stationary Processes," Journal of Multivariate Analysis, Elsevier, vol. 47(1), pages 163-171, October.
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