Statistical estimation of higher-order spectral densities by means of general tapering

M'hammed Baba Harra

Applicationes Mathematicae (1997)

  • Volume: 24, Issue: 4, page 357-381
  • ISSN: 1233-7234

Abstract

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Given a realization on a finite interval of a continuous-time stationary process, we construct estimators for higher order spectral densities. Tapering and shift-in-time methods are used to build estimators which are asymptotically unbiased and consistent for all admissible values of the argument. Asymptotic results for the fourth-order densities are given. Detailed attention is paid to the nth order case.

How to cite

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Baba Harra, M'hammed. "Statistical estimation of higher-order spectral densities by means of general tapering." Applicationes Mathematicae 24.4 (1997): 357-381. <http://eudml.org/doc/219178>.

@article{BabaHarra1997,
abstract = {Given a realization on a finite interval of a continuous-time stationary process, we construct estimators for higher order spectral densities. Tapering and shift-in-time methods are used to build estimators which are asymptotically unbiased and consistent for all admissible values of the argument. Asymptotic results for the fourth-order densities are given. Detailed attention is paid to the nth order case.},
author = {Baba Harra, M'hammed},
journal = {Applicationes Mathematicae},
keywords = {shift-in-time; higher-order spectral densities; cumulant; admissible values; indecomposable partitions; stochastic processes; product moment; tapering; characteristic number},
language = {eng},
number = {4},
pages = {357-381},
title = {Statistical estimation of higher-order spectral densities by means of general tapering},
url = {http://eudml.org/doc/219178},
volume = {24},
year = {1997},
}

TY - JOUR
AU - Baba Harra, M'hammed
TI - Statistical estimation of higher-order spectral densities by means of general tapering
JO - Applicationes Mathematicae
PY - 1997
VL - 24
IS - 4
SP - 357
EP - 381
AB - Given a realization on a finite interval of a continuous-time stationary process, we construct estimators for higher order spectral densities. Tapering and shift-in-time methods are used to build estimators which are asymptotically unbiased and consistent for all admissible values of the argument. Asymptotic results for the fourth-order densities are given. Detailed attention is paid to the nth order case.
LA - eng
KW - shift-in-time; higher-order spectral densities; cumulant; admissible values; indecomposable partitions; stochastic processes; product moment; tapering; characteristic number
UR - http://eudml.org/doc/219178
ER -

References

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