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On Estimation of the Integrals of the Fourth Order Cumulant Spectral Density

Masanobu Taniguchi
Biometrika
Vol. 69, No. 1 (Apr., 1982), pp. 117-122
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2335859
Stable URL: http://www.jstor.org/stable/2335859
Page Count: 6
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On Estimation of the Integrals of the Fourth Order Cumulant Spectral Density
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Abstract

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.

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