Cumulant-based autocorrelation estimates of non-Gaussian linear processes

DOI10.1016/0165-1684(95)00095-XMaRDI QIDQ672840zbMATH OpenFDO

Authors Georgios B. Giannakis, Anastasios Delopoulos

Publication date 28 February 1997

Published in Signal Processing (Search for Journal in Brave)

zbMATH Keywords

ConsistencyCumulantsAsymptotic covarianceAutocorrelation estimationNon-Gaussian time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic processes (60G99)

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• Possible origin of the non-linear long-term autocorrelations within the Gaussian regime
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