Bartlett, M.S. (1954). Problemes de l'analyse spectrale des series temporelles stationnaires. Publ. Inst. Statist. Univ. Paris. III-3, 119-134. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Gaussian Limit Fields For The Integrated Periodogram - Klüppelberg, Mikosch (1996) (1 citation) (Correct)
....i.i.d. exponential at distinct frequencies 2 (0; and that the corresponding integrated periodogram has very much the same asymptotic behaviour as a sum of independent exponential random variables (r.v. s) This fact has already been exploited by Grenander and Rosenblatt (1957) and Bartlett (1954) with their pioneering work on goodness of fit tests, and also by Whittle (1953) who introduced a parameter estimator for ARMA processes based on the integrated periodogram. Picard (1985) introduces tests for detecting a changepoint of the spectral distribution function F of a stationary Gaussian ....
.... distribution relies mainly on the asymptotic behaviour of a finite number of such sample autocovariances (see Brockwell and Davis (1991) Chapter 10.8) A similar approach allows to derive goodness of fit test statistics based on the integrated periodogram (see Grenander and Rosenblatt (1957) Bartlett (1954), Dzhaparidze (1986) and Anderson (1993) These considerations are the starting point for our approach: In Section 3 we commence with a sequence of i.i.d. r.v. s and derive a two parameter FCLT for the integrated periodogram. This FCLT is a consequence of the limit theory for a finite vector of ....
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Bartlett, M.S. (1954). Problemes de l'analyse spectrale des s'eries temporelles stationnaires. Publ. Inst. Statist. Univ. Paris. III-3, 119-134.
Change of structure in financial time series, long range.. - Mikosch, Starica (1999) (2 citations) (Correct)
....authors have built up a theory for the integrated periodogram and its modifications and ramifications. This approach is based on the idea of treating the integrated periodogram as the empirical spectral distribution function (see for example Grenander and Rosenblatt [37] Whittle [60] or Bartlett [7]) and its main aim is to parallel the theory for the empirical process as much as possible. For an introduction to the theory of empirical processes, see Pollard [52] or Shorack and Wellner [57] However, the theory for the integrated periodogram differs significantly from the empirical process ....
....limit of p n(J n;X Gamma FX ) for the construction of goodness of fit tests of the spectral distribution function, as proposed by Grenander and Rosenblatt [37] one needs to modify the integrated periodogram to get a more familiar Gaussian process, if possible a bridge type process. Bartlett [7] (cf. Priestley [54] had the idea to use a weighted form of the integrated periodogram: J n;X;fX ( Z 0 I n;X (x) fX (x) dx ; 2 [0; 2.3) This process, when suitably normalised and centered, has a weak limit which, in the case of a linear process, is independent of the spectral ....
Bartlett, M.S. (1954). Problemes de l'analyse spectrale des s'eries temporelles stationnaires. Publ. Inst. Statist. Univ. Paris. III-3, 119--134.
Changes of Structure in Financial Time Series and the GARCH.. - Mikosch, Starica (2002) (Correct)
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Bartlett, M.S. (1954). Problemes de l'analyse spectrale des series temporelles stationnaires. Publ. Inst. Statist. Univ. Paris. III-3, 119-134.
Non-Stationarities in Stock Returns - Catalin Starica Department (2002) (Correct)
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Bartlett, M.S. (1954). Problemes de l'analyse spectrale des s'eries temporelles stationnaires. Publ. Inst. Statist. Univ. Paris. III-3, 119--134.
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