Asymptotic properties and covariance expressions of kth-order sample moments and cumulants

A.V. Dandawate; G.B. Giannakis

doi:10.1109/ACSSC.1993.342384

Proceedings of 27th Asilomar Conference on Signals, Systems and Computers

Asymptotic properties and covariance expressions of kth-order sample moments and cumulants

Year: 1993, Pages: 1186,1187,1188,1189,1190

DOI Bookmark: 10.1109/ACSSC.1993.342384

Authors

A.V. Dandawate, Dept. of Electr. Eng., Virginia Univ., Charlottesville, VA, USA
G.B. Giannakis, Dept. of Electr. Eng., Virginia Univ., Charlottesville, VA, USA

Abstract

Consistency and asymptotic normality of kth-order sample moments and cumulants of stationary processes is established. Further, asymptotic covariance expressions along with their computable forms are derived and special cases for k=2, 3 and 4 are explicitly discussed. This analysis generalizes the results of Bartlett and provides tools for performance evaluation and comparison of algorithms based on sample moments and cumulants. Simulations verify the given covariance expressions.<>

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Asymptotic properties and covariance expressions of kth-order sample moments and cumulants

Authors

Abstract

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