Estimation of the bispectrum for locally stationary processes
Date
2014Source
Statistics and Probability LettersVolume
89Issue
1Pages
8-16Google Scholar check
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We consider the problem of estimating the bispectrum of a locally stationary process. A nonparametric, 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. © 2014 Elsevier B.V.