Moment bounds for non-linear functionals of the periodogram

G. Faÿ 1
1 APC-Gravitation - APC - Gravitation
APC - UMR 7164 - AstroParticule et Cosmologie, Max-Planck-Institut für Gravitationsphysik (Albert-Einstein-Institut)
Abstract : In this paper, we prove the validity of the Edgeworth expansion of the Discrete Fourier transforms of some linear time series. This result is applied to approach moments of non linear functionals of the periodogram. As an illustration, we give an expression of the mean square error of the Geweke and Porter-Hudak estimator of the long memory parameter. We prove that this estimator is rate optimal, extending the result of Giraitis, Robinson, Samarov (1997) from Gaussian to linear processes.
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Article dans une revue
Stochastic Processes and their Applications, Elsevier, 2010, 120, pp.983-1009. <10.1016/j.spa.2010.02.007>


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Soumis le : mardi 14 octobre 2008 - 12:13:58
Dernière modification le : mercredi 12 octobre 2016 - 01:28:02

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G. Faÿ. Moment bounds for non-linear functionals of the periodogram. Stochastic Processes and their Applications, Elsevier, 2010, 120, pp.983-1009. <10.1016/j.spa.2010.02.007>. <in2p3-00330398>

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