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ArticleOriginal scientific text

Title

Statistical estimation of higher-order spectral densities by means of general tapering

Authors 1

Affiliations

  1. UFR des Sciences-Mathématiques, URA CNRS 1378, site Colbert, Université de Rouen, 76821 Mont Saint Aignan Cedex, France

Abstract

Given a realization on a finite interval of a continuous-time stationary process, we construct estimators for higher order spectral densities. Tapering and shift-in-time methods are used to build estimators which are asymptotically unbiased and consistent for all admissible values of the argument. Asymptotic results for the fourth-order densities are given. Detailed attention is paid to the nth order case.

Keywords

ENG
shift-in-time, higher-order spectral densities, cumulant, admissible values, indecomposable partitions, stochastic processes, product moment, tapering, characteristic number

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Applicationes Mathematicae
1996-1997/24/4
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Pages:
357-381
Main language of publication
English
Received
1995-07-19
Accepted
1996-11-07
Published
1997
Exact and natural sciences