Optimal statistical estimators of spectral density in L^ 2

DOI10.1007/BF00968040MaRDI QIDQ1069641zbMATH OpenFDO

Authors R. Yu. Bentkus

Publication date 1984

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00968040

zbMATH Keywords

a priori informationcovariance functioncumulantL sub 2-spacesminimax estimatorsrate of convergence of the maximal risksmoothed periodogramsSpectral estimatorsstationary random sequence

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Review text

Spectral estimators in the following form of the smoothed periodograms \[ (1)\quad \hat f(\lambda)=(2\pi)^{-1}\sum_{| k| <N}\alpha_ kc_ ke^{-ik\lambda}\quad (c_ k=(N-k)^{-1}\sum X_{t+k}X_ t) \] of a stationary random sequence \(X=\{X_ t\}\) are investigated. Under a priori information \(X\in {\mathfrak X}\), where \({\mathfrak X}\) is some set of random sequences, minimax estimators \(f^*\) minimizing the maximal risk \[ R_ N(\hat f,{\mathfrak X})=\sup_{X\in {\mathfrak X}}E_ X\| \hat f- f\|^ 2_{L_ 2} \] over all \(\hat f\) of the form (1) are constructed for various sets \({\mathfrak X}\) given by restrictions on the covariance function and the fourth cumulant of the sequences X. The rate of convergence of the maximal risk to zero as \(N\to \infty\) is investigated and is compared with that of classical estimators. The best order of decrease of the maximal risk for these estimators is also established.

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• Optimal statistical estimates of a periodic function observed in random noise
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