appropriate sets of eigenvectors of an averaged periodogram matrix of tapered, differenced observations. The averaging uses the …

estimation, we find little evidence of long memory in returns themselves, by strong evidence of persistence in volatility … temporal dependence in returns and long-range correlation in conditional volatility. …

The periodogram analysis of time intervals between successive earthquakes is used for testing the seismic gap …

actual spectra. The most basic spectral estimator is the periodogram. The expected value of the periodogram for dFGN with … sampled from a dFGN process, the expected value of the periodogram for H approaching zero varies as f0 rather than f1−2H. For … finite N and small H, the expected value of the periodogram can in fact exhibit a local power-law behavior with a spectral …

two series. The model-free and seasonally robust periodogram-based test fails to reject the null of no …

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a … time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram … ordinates and imitate the essential features of the data and the weak dependence structure of the periodogram while a …