SOME RESULTS ON THE SUBSAMPLING FOR
-MIXING
PERIODICALLY STRICTLY STATIONARY TIME SERIES
Abstract: The article deals with the special subclass of
-mixing
periodically correlated (PC) time series and the estimation of autocovariance through Fourier
coefficients. The aim is to investigate whether the subsampling of the autocovariance
estimator is consistent. It is shown that the consistency holds for frequencies
and
.
Theoretical reasoning is supplemented with a simulation study.
2000 AMS Mathematics Subject Classification: Primary: 62G09; Secondary: 37M10,
62G20.
Key words and phrases: Periodically correlated time series, subsampling, consistency,
-mixing
property.