Portugaliæ Mathematica   EMIS ELibM Electronic Journals PORTUGALIAE
MATHEMATICA
Vol. 53, No. 2, pp. 179-186 (1996)

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Some Results on the Spectral Analysis of Nonstationary Time Series

Nuno Crato

Department of Mathematical Sciences,
Stevens Institute of Technology, Hoboken NJ 07030 - USA
E-mail: ncrato@lisbon.math.stevens-tech.edu
and
CEMAPRE, ISEG, UTL - PORTUGAL

Abstract: We present some results regarding the periodogram analysis of nonstationary time series, allowing for the extension of spectral regression methods to cases in which the degree of integration $d$ of a process is not in the stationary range.

Keywords: ARFIMA models; nonstationary time series; periodogram analysis; stationarity tests.

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Electronic version published on: 29 Mar 2001. This page was last modified: 27 Nov 2007.

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