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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 3, Pages 481–494
(Mi tvp3444)
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This article is cited in 6 scientific papers (total in 6 papers)
Asymptotic properties of higher-order periodograms
V. G. Alekseev A. M. Obukhov Institute of Atmospheric Physics, Russian Academy of Sciences
Abstract:
Correlation properties of periodograms of third order and of the cumulant periodogram of fourth order are studied. The periodograms are used by the author to construct nonparametric estimators of the bispectral and trispectral density, respectively, of a strictly stationary stochastic process with discrete time. We also indicate conditions under which each of the above-mentioned periodograms is an asymptotically unbiased estimator of the corresponding spectral density.
Keywords:
stationary stochastic process, bispectral density, periodogram of third order, trispectral density, cumulant periodogram of fourth order, data window, symmetry properties of spectral densities.
Received: 17.06.1993
Citation:
V. G. Alekseev, “Asymptotic properties of higher-order periodograms”, Teor. Veroyatnost. i Primenen., 40:3 (1995), 481–494; Theory Probab. Appl., 40:3 (1995), 409–419
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https://www.mathnet.ru/eng/tvp3444 https://www.mathnet.ru/eng/tvp/v40/i3/p481
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Abstract page: | 251 | Full-text PDF : | 82 | First page: | 13 |
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