Consistency conjecture for the generalized Hermite-process spectral density estimator
Consistency conjecture for the generalized Hermite-process spectral density estimator
Let satisfy Condition B and the previous assumptions, and let and be the corresponding population and sample quantities, with . The frequencies are as defined above. Consistency conjecture. Under Condition B and the previous assumptions and notations on , the estimator is consistent in probability:
This is proposed as an analogue of Theorem 1 of Robinson (1994) for the generalized, nonlinear Hermite-process setting. The conjecture concerns consistency of the spectral-density estimator at the low frequency ; the paper does not provide a resolution.
Sources & referencesView supporting material
Primary source
Alessia Caponera, Domenico Marinucci and Anna Vidotto, “Fractional Cointegration of Geometric Functionals”, arXiv:2507.10184 (2025).
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