Quadratic prediction of time series via auto-cumulants

DOI10.1007/S13171-023-00326-6MaRDI QIDQ6123497zbMATH OpenFDO

Authors Tucker S. McElroy, Dhrubajyoti Ghosh, Soumendra N. Lahiri

Publication date 4 March 2024

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S13171-023-00326-6

zbMATH Keywords

bi-spectral densitynonlinear predictionnonlinear processespolyspectraquadratic prediction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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