The Asymptotic Second Order Moments of the Estimated Third Order Cumulants of Stationary Processes
Boaz Port, B. Friedlander · 1988
This paper derives asymptotic formulas for the second order moments of the estimated third order cumulants of stationary linear processes. The formulas are first derived for general processes, and then specialized to ARMA processes. The asymptotic second order moments are useful for analyzing the statistical properties of estimators based on the third order cumulants.