Inference for the Fourth-Order Innovation Cumulant in Linear Time Series

DOI10.1111/jtsa.12160zbMath1416.62486OpenAlexW2117114392MaRDI QIDQ2789392

Maria Fragkeskou, Efstathios Paparoditis

Publication date: 29 February 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12160

zbMATH Keywords

bootstrapinnovationspre-whiteningfourth-order cumulantlag-window estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Bootstrap, jackknife and other resampling methods (62F40)

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• On estimation of the integrals of the fourth order cumulant spectral density
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• Limiting behavior of functionals of higher-order sample cumulant spectra

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