Estimating non-linear functions of the spectral density, using a data-taper
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DOI: 10.1007/BF00773510
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References listed on IDEAS
- Dahlhaus, Rainer, 1985. "Asymptotic normality of spectral estimates," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 412-431, June.
- Rainer Dahlhaus, 1983. "Spectral Analysis With Tapered Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 163-175, May.
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Cited by:
- Velasco, Carlos, 2000.
"Non-Gaussian Log-Periodogram Regression,"
Econometric Theory, Cambridge University Press, vol. 16(1), pages 44-79, February.
- Velasco, Carlos, 1998. "Non-Gaussian log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4553, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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Keywords
Gaussian stationary process; spectral density; periodogram; data-taper; peak-insensitive spectral estimator;All these keywords.
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