Abstract
Asymptotic normality is proven for spectral density estimates assuming strong mixing and a limited number of moment conditions for the process analyzed. The result holds for a large class of processes that are not linear and does not require the existence of all moments.
Citation
M. Rosenblatt. "Asymptotic Normality, Strong Mixing and Spectral Density Estimates." Ann. Probab. 12 (4) 1167 - 1180, November, 1984. https://doi.org/10.1214/aop/1176993146
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