Trispectral analysis of stationary stochastic processes: Large-sample case

MaRDI QIDQ1177489zbMATH OpenFDO

Authors V. G. Alekseev

Publication date 26 June 1992

Published in Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

discrete stationary processintegrated periodogram of fourth orderParzen windowtrispectral density

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Review text

Let \(\{\xi(k)\}\) be a discrete stationary process possessing a trispectral density \(f^{(4)}(\lambda)\) where \(\lambda=(\lambda_ 1,\lambda_ 2,\lambda_ 3)\). It is assumed that two independent realizations of length \(2n+1\) are given. One of them is divided into several non-overlapping (or partially overlapping) parts. Using the Parzen window, from each part the integrated periodogram of fourth order is calculated. Then the periodograms are averaged and thus an estimator \(I_ n(\lambda)\) for \(f^{(4)}(\lambda)\) is obtained. The author proves that \[ \sup| E I_ n(\lambda)-f^{(4)}(\lambda)|=O(n^{-2}). \]

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