For a Gaussian long-memory process sampled at Poisson times, the periodogram converges to a weighted chi-square limit with explicit d-dependent constants, and the local Whittle estimator of the memory parameter remains consistent.
Fourier Theory on the Complex Plane IV: Representability of Real Functions by their Fourier Coefficients
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abstract
The results presented in this paper are refinements of some results presented in a previous paper. Three such refined results are presented. The first one relaxes one of the basic hypotheses assumed in the previous paper, and thus extends the results obtained there to a wider class of real functions. The other two relate to a closer examination of the issue of the representability of real functions by their Fourier coefficients. As was shown in the previous paper, in many cases one can recover the real function from its Fourier coefficients even if the corresponding Fourier series diverges almost everywhere. In such cases we say that the real function is still representable by its Fourier coefficients. Here we establish a very weak condition on the Fourier coefficients that ensures the representability of the function by those coefficients. In addition to this, we show that any real function that is absolutely integrable can be recovered almost everywhere from, and hence is representable by, its Fourier coefficients, regardless of whether or not its Fourier series converges. Interestingly, this also provides proof for a conjecture proposed in the previous paper.
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Inference for continuous-time long memory randomly sampled processes
For a Gaussian long-memory process sampled at Poisson times, the periodogram converges to a weighted chi-square limit with explicit d-dependent constants, and the local Whittle estimator of the memory parameter remains consistent.