Estimation of the bispectrum for locally stationary processes

Estimation of the bispectrum for locally stationary processes

We consider the problem of estimating the bispectrum of a locally stationary process. A non- parametric, lag-window type estimator is considered and its asymptotic properties are investigated. As a possible application, a test for linearity in the framework of locally stationary processes is discuss...

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Hauptverfasser: Paparoditis, Efstathios, Preuß, Philip
Format: Dataset
Sprache:eng
Schlagworte:
bispectrum
linearity test
locally stationary process
non stationary processes
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Beschreibung
Zusammenfassung:We consider the problem of estimating the bispectrum of a locally stationary process. A non- parametric, lag-window type estimator is considered and its asymptotic properties are investigated. As a possible application, a test for linearity in the framework of locally stationary processes is discussed.
DOI:10.17877/de290r-13106