ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

By Weidong Liu, Wei Biao Wu. Econometric Theory, 2009

109 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/059ab9e476ceb2d0e8c8b9a9472c082570f42ca2

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Citations in the corpus

Extensions of some classical methods in change point analysis (2014, methodology): “(1961) and Shorack and Wellner (1986). Statistics based on functionals of YN (t, s) are robust and they could be considered as adaptations of Wilcoxon-type statistics to change point detection.”
Quantile spectral analysis for locally stationary time series (2014, methodology): “This is challenging, and to the best of our knowledge such methodology for the simpler case of classical L(2) spectra has only recently been developed by Liu and Wu (2010) in the stationary case.”
Quantile Spectral Processes: Asymptotic Analysis and Inference (2014, unknown): “Shao, X. (2010). Testing for white noise under unknown dependence and its applications to diagnostic checking for time series models. Econometric Theory 27 312. Shao, X. and Wu, W. B. (2007). Asymptotic spectral theory for nonlinear time series.”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “Extensions and modifications of these methods may be found in Newey and West (1987), Andrews and Monahan (1992), Jansson (2002), Phillips (2005), Smith (2005), and Liu and Wu (2010).”
Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis (2017, result): “Our consistency results for the estimators described in (ii) and (iii) above are based on recent results on lag-window spectral estimators in Shao and Wu (2007) and Liu and Wu (2010), as extended to the multivariate case by Wu and Zaffaroni (2014).”
Gaussian Approximation for High Dimensional Time Series (2015, background): “By Markov’s inequality and Lemma 1 of Liu and Wu (2010), one obtains In comparison, the polynomial tail bounds in (42) and (43) are sharper.”
Structural breaks in time series (2013, background): “1Þ: ð9Þ Sufficient conditions for (9) to hold may be found, for example, in Liu and Wu (2010).”
Asymptotic theory for stationary processes (2011, methodology): “Theorem 16 (Liu and Wu (2010a)).”
Robust Spectral Analysis (2011, methodology): “quirement is not much of a restriction because, asAndrewsnotes, optimal bandwidths are typically of order less than p n. 3. If the quantile of interest ˘ 0(˝) is assumed to be known, then Theorem 1 ofLiu and Wu (2010) implies that Theorem3.6continues to hold when (i) ˘ 0(˝) is used in the denition o”