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 1 |
Fingerprint
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