Linear processes and bispectra
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autoregressive moving average modelbispectrumestimationfrequency response functionlinear and nonlinear predictionlinear processmodulusnon-Gaussianphase
Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)
Cited in
(17)- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Prediction for some non-Gaussian autoregressive schemes
- ARMA modeling of fourth-order cumulants and phase estimation
- Nonminimum phase non-Gaussian deconvolution
- Identification of non-minimum phase transfer function using higher-order spectrum
- A new weak dependence condition and applications to moment inequalities
- Weak dependence beyond mixing and asymptotics for nonparametric regression
- Identification of transfer function matrix using higher-order spectra
- TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
- Nonlinear system theory: Another look at dependence
- GENERAL LINEAR PROCESSES:A PROPERTY OF THE EMPIRICAL PROCESS APPLIED TO DENSITY AND MODE ESTIMATION
- A high performance architecture for computing the time-frequency spectrum
- On the estimation of the parameters of a power spectrum
- Absolute regularity and ergodicity of Poisson count processes
- Spectral estimation for mixed causal-noncausal autoregressive models
- Towards identification of shocks in linear state-space models: application to stochastic volatility model
- Sampling properties of \(U\)-statistics for a class of stationary nonlinear processes
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