Self-normalization for Spectral Density Integrals

Holger Dette; Sebastian Kühnert

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arXiv · 2608.30018

Self-normalization for Spectral Density Integrals

Holger Dette·Sebastian Kühnert

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Abstract

Integrals of spectral densities are frequently used to summarize spectral characteristics of linear processes. This work studies self-normalization for estimators of such integrals based on sequential periodograms and establishes weak convergence of the corresponding processes. For linear functionals of the spectral density, self-normalization yields pivotal limiting distributions that are free of unknown spectral quantities. For non-linear functionals, however, additional components with distinct covariance structures may arise in the limiting process. We demonstrate this phenomenon for the integrated squared spectral density.

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Holger Dette, Sebastian Kühnert. 2026-08-30. Self-normalization for Spectral Density Integrals. https://arxiv.org/abs/2608.30018

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