Geodesic
Statistical estimation of higher-order spectral densities by means of general tapering
Applicationes Mathematicae, Tome 24 (1997) no. 4, pp. 357-381 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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.
DOI : 10.4064/am-24-4-357-381
Keywords: shift-in-time, higher-order spectral densities, cumulant, admissible values, indecomposable partitions, stochastic processes, product moment, tapering, characteristic number

M'hammed Baba Harra 1

1 
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M'hammed Baba Harra. Statistical estimation of higher-order spectral densities by means of general tapering. Applicationes Mathematicae, Tome 24 (1997) no. 4, pp. 357-381. doi: 10.4064/am-24-4-357-381

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