English, Article, Journal or magazine article edition: Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I. Lacroix, R.

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Bookmark: http://trove.nla.gov.au/version/148033
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I.
Author
  • Lacroix, R.
Physical Description
  • preprint
Notes
  • Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non parametric tests of this hypothesis, which exploit the asymptotic behavior of the periodigram for some well-chosen sequence of frequencies.
  • Stationarity ; Spectral density ; Moving average unit root ; Non parametric tests
  • RePEc:bfr:banfra:70
Language
  • English
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