Autori
Marinucci, Domenico
Robinson, P. M.

Titolo
The averaged periodogram for nonstationary vector stochastic processes
Periodico
Università degli Studi di Roma "La Sapienza" - Dipartimento di Studi Geoeconomici, Linguistici, Statistici e Storici per l'Analisi regionale. Working papers
Anno: 1999 - Fascicolo: 6 - Pagina iniziale: 1 - Pagina finale: 14

frequency domain statistics are studied in the presence of fractional deterministic and stochastic trends. It is shown how the behaviour of the sample variance-covariance matrix of nonstationary processes, can be dominated by components corresponding to a possibly degenerating band around zero frequency. This property is used to establish the limiting distribution of the averaged periodogram matrix, of memory estimates for nonstationary series, and for frequency domain regression estimates under nonstandard conditions




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