When the bispectrum is real-valued
From MaRDI portal
Publication:464455
DOI10.1016/J.SPL.2014.08.004zbMATH Open1298.62159arXiv1307.4625OpenAlexW2964103837MaRDI QIDQ464455FDOQ464455
Authors: E. Iglói, Gy. Terdik 
Publication date: 27 October 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: Let {X(t)} be a stationary time series with a.e. positive spectrum. Two consequences of that the bispectrum of {X(t)} is real-valued but nonzero: 1) if {X(t)} is also linear, then it is reversible; 2) {X(t),} can not be causal linear. A corollary of the first statement: if {X(t)} is linear, and the skewness of X(0) is nonzero, then third order reversibility implies reversibility. In this paper the notion of bispectrum is of a broader scope.
Full work available at URL: https://arxiv.org/abs/1307.4625
Recommendations
- A New Test of Linearity of Time Series Based on the Bispectrum
- The exact bispectra for bilinear realizable processes with hermite degree 2
- scientific article; zbMATH DE number 1336728
- ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
- An introduction to bispectral analysis and bilinear time series models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonlinear systems in control theory (93C10)
Cites Work
- Gaussian and non-Gaussian linear time series and random fields
- Title not available (Why is that?)
- On Cauchy's Functional Equation
- On almost additive functions
- Title not available (Why is that?)
- An Introduction to Polyspectra
- On the unique representation of non-Gaussian linear processes
- On the Pexider difference
- Miscellanea. On time-reversibility of linear processes
- Long-range dependence in third order and bispectrum singularity
This page was built for publication: When the bispectrum is real-valued
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q464455)
