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Consistency of the Periodogram When the Long-Run Variance is Degenerate
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 Title & Authors
Consistency of the Periodogram When the Long-Run Variance is Degenerate
Lee, Jin;
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 Abstract
Sample periodogram is widely known as an inconsistent estimator for true spectral density. We show that it becomes consistent when the true spectrum at the zero frequency (often known as long-run variance) equals zero. Asymptotic results for consistency of the periodogram as well as the rate of convergence are formally derived.
 Keywords
Periodogram;spectrum;long-run variance;consistency;
 Language
English
 Cited by
 References
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