Higher-order accurate polyspectral estimation with flat-top lag-windows

DOI10.1007/s10463-007-0154-0zbMath1332.62354arXivmath/0612681MaRDI QIDQ730764

Dimitris N. Politis, Arthur Berg

Publication date: 30 September 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612681

zbMATH Keywords

time series; spectral density; nonparametric estimation; bispectrum

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

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HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, A bootstrap test for time series linearity

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