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.
@article{bwmeta1.element.bwnjournal-article-zmv24i4p357bwm,
author = {M'hammed Baba Harra},
title = {Statistical estimation of higher-order spectral densities by means of general tapering},
journal = {Applicationes Mathematicae},
volume = {24},
year = {1997},
pages = {357-381},
zbl = {1013.62502},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-zmv24i4p357bwm}
}
Baba Harra, M'hammed. Statistical estimation of higher-order spectral densities by means of general tapering. Applicationes Mathematicae, Tome 24 (1997) pp. 357-381. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv24i4p357bwm/
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