Abstract
Asymptotic normality is proven for spectral density estimates assuming strong mixing and a limited number of moment conditions for the process analyzed. The result holds for a large class of processes that are not linear and does not require the existence of all moments.
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Received March 1983; revised December 1983.
Research supported in part by Office of Naval Research Contract N00014-81-K-003 and National
AMS 1980 subject classifications. Primary 60F05; secondary 62M15.
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Davis, R.A., Lii, KS., Politis, D.N. (2011). Asymptotic Normality, Strong Mixing and Spectral Density Estimates. In: Davis, R., Lii, KS., Politis, D. (eds) Selected Works of Murray Rosenblatt. Selected Works in Probability and Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-8339-8_33
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DOI: https://doi.org/10.1007/978-1-4419-8339-8_33
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