Generalised cepstral models for the spectrum of vector time series

DOI10.1214/19-EJS1672zbMath1444.62099OpenAlexW3003831203MaRDI QIDQ2293719

Maddalena Cavicchioli

Publication date: 5 February 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1580202032

zbMATH Keywords

spectral estimationWhittle likelihoodspectral density matrixBox-Cox linkgeneralised spectrum modelsstationary vector stochastic processesWold coefficients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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