The Empirical FT. What is the large sample distribution of the EFT?

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Presentation transcript:

The Empirical FT. What is the large sample distribution of the EFT?

The complex normal.

Theorem. Suppose X is stationary mixing, then

Proof. Write Evaluate first and second-order cumulants Bound higher cumulants Normal is determined by its moments

Consider

Comments. Already used to study mean estimate Tapering, h(t)X(t). makes Get asymp independence for different frequencies The frequencies 2r/T are special, e.g. T(2r/T)=0, r 0 Also get asymp independence if consider separate stretches p-vector version involves p by p spectral density matrix fXX( )

Estimation of the (power) spectrum. An estimate whose limit is a random variable

Some moments. The estimate is asymptotically unbiased Final term drops out if  = 2r/T  0 Best to correct for mean, work with

Periodogram values are asymptotically independent since dT values are - independent exponentials Use to form estimates

Approximate marginal confidence intervals

More on choice of L

Approximation to bias

Indirect estimate

Estimation of finite dimensional . approximate likelihood (assuming IT values independent exponentials)

Bivariate case.

Crossperiodogram. Smoothed periodogram.

Complex Wishart

Predicting Y via X

Plug in estimates.

Large sample distributions. var log|AT|  [|R|-2 -1]/L var argAT  [|R|-2 -1]/L

Advantages of frequency domain approach. techniques for many stationary processes look the same approximate i.i.d sample values assessing models (character of departure) time varying variant...