1 l jl2 this is daniells estimator p j daniell

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Unformatted text preview: l's estimator (P. J. Daniell, University of Sheffield, 1946). 6 Consistency of nonparametric spectral estimation Suppose Ln and Wn satisfy Ln , Wn (j) 0, 2 Wn (j) 0 Ln 0, n Wn (j) = Wn (-j), |j|Ln Wn (j) = 1, |j|Ln as n , then. . . 7 Consistency of nonparametric spectral estimation ^ . . . for a large class of stationary processes, f () f () in the mean ^ square sense. In particular, Ef () f () and -1 f 2 ( ) if = (0, 1/2) 1 1 2 2 ^ ^ Wn (j) Cov(f (1 ), f (2 )) 0 if 1 = 2 . |j|Ln The conditions on the bandwidth parameter Ln ens...
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