MATEMATIČKI VESNIK
МАТЕМАТИЧКИ ВЕСНИК



MATEMATIČKI VESNIK
On probability measure generated by spectral density estimate
Pavle Mladenović

Abstract

We study the periodogram based estimate of spectral density of a strictly stationary random sequence and consider this estimate as a random function on the whole domain of frequency. We renormalize the scale in this domain and investigate the probability measure generated by obtained process in the space of continuous functions.

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Keywords: Stationary time series, spectral density, periodogram based estimate, cumulant spectral densities, weak convergence.

MSC: 62M15, 60G10, 60G15

Pages:  31--37     

Volume  47 ,  Issue  1$-$2 ,  1995