Spectral Estimation of Non-Gaussian Time Series

0346925 - ÚI 2011 RIV CZ eng J - Journal Article
Fabián, Zdeněk
Spectral Estimation of Non-Gaussian Time Series.
Neural Network World. Roč. 20, č. 4 (2010), s. 491-499. ISSN 1210-0552
R&D Projects: GA MŠMT ME 949
Institutional research plan: CEZ:AV0Z10300504
Keywords : scalar score * power spectra * processes with infinite variance * processes with skewed distributions
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.511, year: 2010

Based on the concept of the scalar score of a probability distribution, we introduce a concept of a scalar score of time series and propose to characterize a non-Gaussian time series by spectral density of its scalar score.
Permanent Link: http://hdl.handle.net/11104/0006000