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

Volume 24 / 1997

M'hammed Baba Harra Applicationes Mathematicae 24 (1997), 357-381 DOI: 10.4064/am-24-4-357-381

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.

Authors

  • M'hammed Baba Harra

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