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.
ASJC Scopus subject areas
- Statistics and Probability
- Agricultural and Biological Sciences (miscellaneous)
- Agricultural and Biological Sciences(all)
- Statistics, Probability and Uncertainty
- Applied Mathematics