Optimal statistical estimators of spectral density in L^ 2

DOI10.1007/BF00968040zbMATH Open0584.62159MaRDI QIDQ1069641FDOQ1069641

R. Yu. Bentkus

Publication date: 1984

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

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zbMATH Keywords

covariance functioncumulantminimax estimatorsa priori informationstationary random sequenceL sub 2-spacesrate of convergence of the maximal risksmoothed periodogramsSpectral estimators

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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Cited In (13)

• $L_2 $ Spectral Estimation
• Title not available (Why is that?)
• 28
• A sieve method for the spectral density
• Title not available (Why is that?)
• The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density
• On the optimum estimation of the spectra of certain discrete stochastic processes
• Error bounds for kernel density estimator of spectral distribution for Gaussian unitary ensembles
• Kullback-leibler approximation of spectral density functions
• Title not available (Why is that?)
• Asymptotics of minimax mean-square risk of statistical estimators of spectral density in the space \(L_ 2\)
• Superoptimal estimator of the spectral density by adaptive projection: an application to the estimation of a moving average order
• Optimal statistical estimates of a periodic function observed in random noise

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