Asymptotic normality, strong mixing and spectral density estimates. (English) Zbl 0545.62058

Asymptotic normality is proven for spectral density estimates assuming strong mixing and some moment conditions. The result holds for a large class of processes that are not linear and do not require the existence of all moments.
Reviewer: Z.Jurek


62M15 Inference from stochastic processes and spectral analysis
60F05 Central limit and other weak theorems
62E20 Asymptotic distribution theory in statistics
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