Long-range dependence in third order and bispectrum singularity

被引：0
|
作者：
György Terdik
机构：
[1] University of Debrecen,Faculty of Informatics
来源：
Periodica Mathematica Hungarica | 2011年 / 62卷
关键词：
long memory; LRD; bispectrum; cumulants; bicovariances; non-Gaussian time series; linear long range dependent processes; 62M10; 37M10; 62M15; 91B70;
D O I：
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学科分类号：
摘要：
In this paper the third order long-range dependence (LRD) is defined in terms of the bispectrum and third order cumulants (bicovariances). Two particular non-Gaussian processes with second order LRD are considered together with their bispectra and bicovariances.
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页码：103 / 119
页数：16
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