• Title of article

    The integrated periodogram for long-memory processes with finite or infinite variance

  • Author/Authors

    Kokoszka، نويسنده , , P. and Mikosch، نويسنده , , T.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1997
  • Pages
    24
  • From page
    55
  • To page
    78
  • Abstract
    We derive functional limit theorems for the integrated periodogram of linear processes whose innovations may have finite or infinite variance, and which may exhibit long memory. The results are applied to obtain corresponding Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit tests.
  • Keywords
    Integrated periodogram , Long memory , Heavy tails , Fractional ARIMA , Goodness-of-fit tests , Functional limit theorems
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    1997
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1576002

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1576002