HIGHER-ORDER CUMULANTS AND CUMULANT SPECTRA

Authors
HINICH MJ
Citation
Mj. Hinich, HIGHER-ORDER CUMULANTS AND CUMULANT SPECTRA, Circuits, systems, and signal processing, 13(4), 1994, pp. 391-402
Citations number
6
Categorie Soggetti
Engineering, Eletrical & Electronic
Journal title
Circuits, systems, and signal processing → ACNP
ISSN journal
0278081X
Volume
13
Issue
4
Year of publication
1994
Pages
391 - 402
Database
ISI
SICI code
0278-081X(1994)13:4<391:HCACS>2.0.ZU;2-1
Abstract
An exposition of joint cumulants and cumulant spectra is presented. A distinction is emphasized in this paper between the cumulant spectrum of a time series and its stationary version, here called a polyspectru m. The variance and covariance of the sample bispectrum is then derive d using a relationship between cumulant spectra of the finite Fourier transform for the 2nd and 4th cumulant function, and the bispectrum an d trispectrum of the time series.