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

Research output: Contribution to journalArticle

29 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 languageEnglish
Pages (from-to)117-122
Number of pages6
JournalBiometrika
Volume69
Issue number1
DOIs
Publication statusPublished - 1982 Apr
Externally publishedYes

Fingerprint

Spectral density
Spectral Density
Cumulants
Fourth Order
Quasi-maximum Likelihood
Consistent Estimates
Asymptotic Variance
Asymptotic Theory
Estimate
Integral

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 journalArticle

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