The averaged periodogram estimator for a power law in coherency

Journal of Time Series Analysis - Tập 33 Số 2 - Trang 340-363 - 2012
Rebecca J. Sela1, Clifford M. Hurvich2
1J.P. Morgan Chase & Co.
2New York University

Tóm tắt

We prove the consistency of the averaged periodogram estimator (APE) in two new cases. First, we prove that the APE is consistent for negative memory parameters, after suitable tapering. Second, we prove that the APE is consistent for a power law in the cross‐spectrum and therefore for a power law in the coherency, provided that sufficiently many frequencies are used in estimation. Simulation evidence suggests that the lower bound on the number of frequencies is a necessary condition for consistency. For a Taylor series approximation to the estimator of the power law in the cross‐spectrum, we consider the rate of convergence and obtain a central limit theorem under suitable regularity conditions.

Từ khóa


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Thông tin xuất bản

Journal of Time Series Analysis

Tập 33 Số 2

340-363

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