Spectral methods for small sample time series: A complete periodogram approach

@article{Das2020SpectralMF,
  title={Spectral methods for small sample time series: A complete periodogram approach},
  author={Sourav Das and Suhasini Subba Rao and Junho Yang},
  journal={Journal of Time Series Analysis},
  year={2020},
  volume={42}
}
The periodogram is a widely used tool to analyze second order stationary time series. An attractive feature of the periodogram is that the expectation of the periodogram is approximately equal to the underlying spectral density of the time series. However, this is only an approximation, and it is well known that the periodogram has a finite sample bias, which can be severe in small samples. In this article, we show that the bias arises because of the finite boundary of observation in one of the… 
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