On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series

DOI10.3103/S1066530712010036zbMath1308.62174OpenAlexW2025300135MaRDI QIDQ2261912

Valeriy A. Voloshko, Yuriy S. Kharin

Publication date: 13 March 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530712010036

zbMATH Keywords

asymptotic expansiontime seriescepstrumlog-periodogramcentral mixed moment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series

Cites Work

• Robust estimation of AR coefficients under simultaneously influencing outliers and missing values
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• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
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