Proietti, Tommaso; Luati, Alessandra - School of Economics and Management, University of Aarhus - 2013
The exponential model for the spectrum of a time series and its fractional extensions are based on the Fourier series expansion of the logarithm of the spectral density. The coefficients of the expansion form the cepstrum of the time series. After deriving the cepstrum of important classes of...
