Generalised Linear Cepstral Models for the Spectrum of a Time Series

DOI10.5705/SS.202017.0322zbMATH Open1431.62414OpenAlexW2782384783MaRDI QIDQ5226650FDOQ5226650

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

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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)

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
• Title not available (Why is that?)
• Generalised cepstral models for the spectrum of vector time series
• Generalized autocovariance matrices for multivariate time series

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