Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Consistency of the Periodogram When the Long-Run Variance is Degenerate

  • Lee, Jin (Department of Economics, Ewha Womans University)
  • Received : 2011.12.08
  • Accepted : 2012.02.27
  • Published : 2012.03.31
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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.

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References

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