2006/07/06 by Marco Avarucci, Domenico Marinucci
Mathematics · #Mathematical Analysis and Transform Methods #Random Matrices and Applications #Spectral Theory in Mathematical Physics #math.ST #msc:60G10 #msc:62M10 #msc:62M15 #stat.TH
paper · pdf · doi:10.1111/j.1467-9892.2007.00540.x
published as Journal of Time Series Analysis, 28(6) 923-942 (2007) · 25 pages, 7 figures. Submitted in August 2005
arxiv created 2006/07/06 · openalex publication_date 2007/10/11 · arxiv updated 2009/12/01 · openalex created_date 2020/11/23 · openalex updated_date 2026/07/02
Abstract. In this article we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density matrix at frequency zero.