Limiting Behavior of Functionals of Higher-Order Sample Cumulant Spectra
Keenan, Daniel MacRae
Ann. Statist., Tome 15 (1987) no. 1, p. 134-151 / Harvested from Project Euclid
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This paper is concerned with establishing a broad class of estimators (and the limiting behavior, thereof) for parametrizations of higher than second-order structure. This includes parametrizations which reflect, for example, such properties as nonlinearity and/or non-Gaussianity and/or time irreversibility. Asymptotic distributions, almost-sure convergence, and probability-one bounds for such estimators are established. Several applications of such estimators are discussed.
Publié le : 1987-03-14
Classification:  Time series,  cumulant spectra,  functionals,  limiting behavior,  60G10,  62M15 
@article{1176350257,
     author = {Keenan, Daniel MacRae},
     title = {Limiting Behavior of Functionals of Higher-Order Sample Cumulant Spectra},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 134-151},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350257}
}

Keenan, Daniel MacRae. Limiting Behavior of Functionals of Higher-Order Sample Cumulant Spectra. Ann. Statist., Tome 15 (1987) no. 1, pp.  134-151. http://gdmltest.u-ga.fr/item/1176350257/