Generalised Linear Cepstral Models for the Spectrum of a Time Series

DOI10.5705/SS.202017.0322MaRDI QIDQ5226650zbMATH OpenOpenAlexFDO

Authors Tommaso Proietti, Alessandra Luati

Publication date 1 August 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202017.0322

zbMATH Keywords

time serieslinear cepstral modelsspectrum of time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL
• Generation Of Time Series Models With Given Spectral Properties
• Empirical spectral processes and their applications to time series analysis
• scientific article; zbMATH DE number 3898064
• On the asymptotic properties of cepstrum coefficient estimators for Gaussian time series
• On Estimating Multimodal Spectra of Time Series
• scientific article; zbMATH DE number 1069603
• scientific article; zbMATH DE number 3885166

Cited in

(8)

• SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL
• The Cepstral Model for Multivariate Time Series: The Vector Exponential Model
• On the asymptotic properties of cepstrum coefficient estimators for Gaussian time series
• Cepstral identification of autoregressive systems
• Time series in M dimensions: The power spectrum
• scientific article; zbMATH DE number 1069603 (Why is no real title available?)
• Generalised cepstral models for the spectrum of vector time series
• Generalized autocovariance matrices for multivariate time series

This page was built for publication: Generalised Linear Cepstral Models for the Spectrum of a Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5226650)