Estimating nonlinear functions of the spectral density, using a data- taper

DOI10.1007/BF00773510MaRDI QIDQ1804814zbMATH OpenOpenAlexFDO

Authors Rainer von Sachs

Publication date 21 August 1995

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00773510

zbMATH Keywords

asymptotic normalitycentral limit theoremspectral densityGaussian stationary processdata-tapersnonparametric peak-insensitive spectrum estimationperiodogram-based estimators

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA
• Statistical estimation for stationary models with tapered data
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Asymptotic statistical properties of spectral estimates with different tapers for discrete time processes.

Cited in

(4)

• Statistical inference for stationary linear models with tapered data
• Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
• scientific article; zbMATH DE number 3978209 (Why is no real title available?)
• A functional limit theorem for tapered empirical spectral functions

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