THE INTEGRATED PERIODOGRAM FOR LONG-MEMORY PROCESSES WITH FINITE OR INFINITE VARIANCE

Authors
KOKOSZKA P MIKOSCH T
Citation
P. Kokoszka et T. Mikosch, THE INTEGRATED PERIODOGRAM FOR LONG-MEMORY PROCESSES WITH FINITE OR INFINITE VARIANCE, Stochastic processes and their applications, 66(1), 1997, pp. 55-78
Citations number
35
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
66
Issue
1
Year of publication
1997
Pages
55 - 78
Database
ISI
SICI code
0304-4149(1997)66:1<55:TIPFLP>2.0.ZU;2-9
Abstract
We derive functional limit theorems for the integrated periodogram of linear processes whose innovations may have finite or infinite varianc e, and which may exhibit long memory. The results are applied to obtai n corresponding Kolmogorov-Smirnov and Cramer-von Mises goodness-of-fi t tests.