Estimation of the bispectrum for locally stationary processes

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Date

2013-12-10

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Abstract

We consider the problem of estimating the bispectrum of a locally stationary process. A non- parametric, 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.

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Keywords

bispectrum, linearity test, locally stationary process, non stationary processes

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