Abstract
It is known that the asymptotic variance of a quasimaximum likelihood estimate for a non-Gaussian process contains certain integrals of the fourth order cumulant spectral density. If we apply the asymptotic theory we are required to estimate these integrals. Here we shall propose some operational consistent estimates for them.
| Original language | English |
|---|---|
| Pages (from-to) | 117-122 |
| Number of pages | 6 |
| Journal | Biometrika |
| Volume | 69 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1982 Apr |
| Externally published | Yes |
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Keywords
- Consistent estimate
- Cumulant spectral density
- Periodogram
- Quasimaximum likelihood estimate
- Stationary process
ASJC Scopus subject areas
- Statistics, Probability and Uncertainty
- Applied Mathematics
- Mathematics(all)
- Statistics and Probability
- Agricultural and Biological Sciences (miscellaneous)
- Agricultural and Biological Sciences(all)
Cite this
On estimation of the integrals of the fourth order cumulant spectral density. / Taniguchi, Masanobu.
In: Biometrika, Vol. 69, No. 1, 04.1982, p. 117-122.Research output: Contribution to journal › Article
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TY - JOUR
T1 - On estimation of the integrals of the fourth order cumulant spectral density
AU - Taniguchi, Masanobu
PY - 1982/4
Y1 - 1982/4
N2 - It is known that the asymptotic variance of a quasimaximum likelihood estimate for a non-Gaussian process contains certain integrals of the fourth order cumulant spectral density. If we apply the asymptotic theory we are required to estimate these integrals. Here we shall propose some operational consistent estimates for them.
AB - It is known that the asymptotic variance of a quasimaximum likelihood estimate for a non-Gaussian process contains certain integrals of the fourth order cumulant spectral density. If we apply the asymptotic theory we are required to estimate these integrals. Here we shall propose some operational consistent estimates for them.
KW - Consistent estimate
KW - Cumulant spectral density
KW - Periodogram
KW - Quasimaximum likelihood estimate
KW - Stationary process
UR - http://www.scopus.com/inward/record.url?scp=0000040577&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0000040577&partnerID=8YFLogxK
U2 - 10.1093/biomet/69.1.117
DO - 10.1093/biomet/69.1.117
M3 - Article
AN - SCOPUS:0000040577
VL - 69
SP - 117
EP - 122
JO - Biometrika
JF - Biometrika
SN - 0006-3444
IS - 1
ER -