Discrete Fourier Transforms of Fractional Processes with Econometric Applications*
Essays in Honor of Joon Y. Park: Econometric Theory
ISBN: 978-1-83753-209-4, eISBN: 978-1-83753-208-7
Publication date: 24 April 2023
Abstract
The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency domain form of the model for a fractional process. This representation is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter
Keywords
Citation
Phillips, P.C.B. (2023), "Discrete Fourier Transforms of Fractional Processes with Econometric Applications
Publisher
:Emerald Publishing Limited
Copyright © 2023 Peter C. B. Phillips