On estimation of the integrals of the fourth order cumulant spectral density

Masanobu Taniguchi

doi:10.1093/biomet/69.1.117

On estimation of the integrals of the fourth order cumulant spectral density

Masanobu Taniguchi

Research output: Contribution to journal › Article › peer-review

32 Citations (Scopus)

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	https://doi.org/10.1093/biomet/69.1.117
Publication status	Published - 1982 Apr 1
Externally published	Yes

Keywords

Consistent estimate
Cumulant spectral density
Periodogram
Quasimaximum likelihood estimate
Stationary process

ASJC Scopus subject areas

Statistics and Probability
Mathematics(all)
Agricultural and Biological Sciences (miscellaneous)
Agricultural and Biological Sciences(all)
Statistics, Probability and Uncertainty
Applied Mathematics

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KW - Periodogram

KW - Quasimaximum likelihood estimate

KW - Stationary process

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On estimation of the integrals of the fourth order cumulant spectral density

Abstract

Keywords

ASJC Scopus subject areas

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