THE CONSISTENT ESTIMATOR OF BISPECTRUM DENSITY FUNCTION AND SPECTRAL ESTIMATION OF NONGAUSSIAN SERIES WITH ADDITIVE NOISE

Many papers have dealt with constructing and investigating higher order spectral density. Here we discuss the bispectrum estimator with data window, and this is different from previous papers. We construct the estimator as（1.13） and prove its consistency（see （1.20） and （1.21））. We also deal with the problem of spectral estimasion of a non Gaussian series with additive noise using bispectrum inalysis method. The consistency of the estimator is proved（see Theorem 2.1）. Finally, several Monte-Carlo simulations are given in this paper and compare them with the Maximum Entropy method.