Spectral properties of moving L-estimates of independent data

DOI10.1016/0016-0032(87)90378-4MaRDI QIDQ1094804zbMATH OpenOpenAlexWikidataFDO

Authors A. Restrepo, Alan C. Bovik

Publication date 1987

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0016-0032(87)90378-4

zbMATH Keywords

autocovariance functioninner and outer trimmed mean filtersjoint probability distributionlinear combination of order statisticsmedian filtersmoving L-estimateorder statisticsoverlapping samplessecond-order random variablesvariance spectral density

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

Review text

A derivation of the joint probability distribution and mass functions of order statistics coming from overlapping samples is presented. The general formulation allows for samples of any size overlapping (coinciding) in any number of observed values ranging from zero to the number of observations in the smaller sample. These expressions are used to compute the autocovariance function of a moving L-estimate (linear combination of order statistics) of a sequence of independent, identically distributed second-order random variables, under a variety of assumptions on the parent distribution. The associated variance spectral density is also computed for several filters of interest, including median filters, and inner and outer trimmed mean filters.

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Cites work

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• On Second Moment Properties of Median Filtered Sequences of Independent Data
• Two-dimensional digital signal processing I. Linear filters

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• On the linear combination, product and ratio of normal and Laplace random variables

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