On the convergence of the spectrum of finite order approximations of stationary time series

Syamantak Datta Gupta, Ravi R. Mazumdar, Peter W. Glynn

Abstract: Highlights•Conditions for L2 convergence of the spectral density of AR and MA approximations.•Convergence in mean of the spectral density based on covariance estimates.•Convergence of the spectral density at origin for both cases.