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Biometrika 1982 69(1):117-122; doi:10.1093/biomet/69.1.117
© 1982 by Biometrika Trust
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On estimation of the integrals of the fourth order cumulant spectral density

MASANOBU TANIGUCHI

Department of Applied Mathematics, Hiroshima University Japan

It is known that the asymptotic variance of a quasimaximum likelihood estimate for a non-Gaussian process contains certain integrals of the fourth order cumulant spectral density. If we apply the asymptotic theory we are required to estimate these integrals. Here we shall propose some operational consistent estimates for them.

Key Words: Consistent estimate • Cumulant spectral density • Periodogram • Quasimaximum likelihood estimate • Stationary process


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