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

linear cepstral modelsspectrum of time seriestime series

Mathematics Subject Classification ID

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

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Cited in

(10)

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

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