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On the spectral decomposition of stationary time series using walsh functions. II

Published online by Cambridge University Press:  01 July 2016

R. Kohn
R. Kohn*
Affiliation:
University of New South Wales
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Abstract

The paper derives the asymptotic properties of a class of estimators of the Walsh–Fourier spectral density of a stationary time series. The spectral density is defined in Kohn (1980).

Keywords

CENTRAL LIMIT THEOREMESTIMATIONMULTIVARIATE TIME SERIESWALSH-FOURIER SPECTRAL DENSITY
Type
Research Article
Information
Advances in Applied Probability , Volume 12 , Issue 2 , June 1980 , pp. 462 - 474
Copyright
Copyright © Applied Probability Trust 1980 

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References

Brillinger, D. R. (1975) Time Series: Data Analysis and Theory. Holt, Rinehart and Winston, New York.Google Scholar
Hannan, E. J. (1970) Multiple Time Series. Wiley, New York.Google Scholar
Kohn, R. (1980) On the spectral decomposition of stationary time series using Walsh functions. I. Adv. Appl. Prob. 12, 183–199.Google Scholar