On estimating linear functional of the covariance function of a stationary process

DOI10.1080/07362999708809506zbMath0899.60032OpenAlexW2090247725MaRDI QIDQ4371842

Uwe Haberzettl

Publication date: 21 January 1998

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999708809506

zbMATH Keywords

asymptotic normalitystationary processcumulant functionsestimator for linear functionals of the covariance function

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Cites Work

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• Asymptotic normality, strong mixing and spectral density estimates
• Asymptotic normality of spectral estimates
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• On a Method of Calculation of Semi-Invariants
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Asymptotic Analysis of the Lyapunov Exponent and Rotation Number of the Random Oscillator and Applications
• Asymptotic properties of spectral estimates of second order

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