On estimating linear functional of the covariance function of a stationary process

DOI10.1080/07362999708809506MaRDI QIDQ4371842zbMATH OpenOpenAlexFDO

Authors Uwe Haberzettl

Publication date 21 January 1998

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999708809506

zbMATH Keywords

asymptotic normalitycumulant functionsestimator for linear functionals of the covariance functionstationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Non-Markovian processes: estimation (62M09)

Recommendations

• scientific article; zbMATH DE number 1226053
• On Estimating the Value of a Linear Functional of the Spectral Density of a Gaussian Stationary Process
• On the multidimension asymptotic distribution of covariance estimates of linear stationary processes
• scientific article; zbMATH DE number 1850474
• scientific article; zbMATH DE number 3911535
• Linear estimation of the mean value of a stationary random process with convex correlation function
• On the Estimation of Integrated Covariance Functions of Stationary Random Fields
• A method of functional estimation for stationary processes

Cites work

• Asymptotic Analysis of the Lyapunov Exponent and Rotation Number of the Random Oscillator and Applications
• Asymptotic normality of spectral estimates
• Asymptotic normality, strong mixing and spectral density estimates
• Asymptotic properties of spectral estimates of second order
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• scientific article; zbMATH DE number 3963031 (Why is no real title available?)
• scientific article; zbMATH DE number 3359478 (Why is no real title available?)
• On a Method of Calculation of Semi-Invariants
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• SPECTRAL ANALYSIS WITH TAPERED DATA

Cited in

(21)

• Covariance function of vector self-similar processes
• Linear optimal estimation on nonstationary stochastic processes and factorization of correlation operators
• Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
• A note on autocovariance estimation in the presence of discrete spectra
• Variance function estimation of a one-dimensional nonstationary process
• The generalised autocovariance function
• On estimating the cumulant generating function of linear processes
• Unbiased estimation of the autocovariance function in a stationary generalized lognormal process
• On the Estimation of Integrated Covariance Functions of Stationary Random Fields
• Spectral density estimation through a regularized inverse problem
• scientific article; zbMATH DE number 3866436 (Why is no real title available?)
• On a relationship between the inverse of a stationary covariance matrix and the linear interpolator
• On the multidimension asymptotic distribution of covariance estimates of linear stationary processes
• scientific article; zbMATH DE number 3911535 (Why is no real title available?)
• Linear estimation of the mean value of a stationary random process with convex correlation function
• On the convergence of the minimum variance spectral estimator in nonstationary noise
• scientific article; zbMATH DE number 1204367 (Why is no real title available?)
• scientific article; zbMATH DE number 843960 (Why is no real title available?)
• scientific article; zbMATH DE number 843980 (Why is no real title available?)
• Mean and autocovariance function estimation near the boundary of stationarity
• On the order of convergence in linear mean estimation of weakly stationary stochastic processes

This page was built for publication: On estimating linear functional of the covariance function of a stationary process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4371842)