A consistent estimator for spectral density matrix of a discrete time periodically correlated process
DOI:
https://doi.org/10.19195/0208-4147.38.1.12Słowa kluczowe:
Periodically correlated processes, spectral density matrix, Kullback–Leibler distance, smoothed periodogram, Wishart distribution, limiting distributionAbstrakt
In this article, we introduce a weighted periodogram in the class of smoothed periodograms as a consistent estimator for the spectral density matrix of a periodically correlated process. We derive its limiting distribution that appears to be a certain finite linear combination of Wishart distribution. We also provide numerical derivations for our smoothed periodogram and exhibit its asymptotic consistency using simulated data.
