On autocorrelation estimation in mixed-spectrum Gaussian processes

DOI10.1016/0304-4149(94)90136-8zbMath0796.62075MaRDI QIDQ1316600

Eric V. Slud, Benjamin Kedem-Kimelfeld

Publication date: 11 October 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90136-8

zbMATH Keywords

spectral measure; ergodic; first-order autocorrelation; empirical zero-crossing rate; real- valued, zero-mean stationary Gaussian process; spectral atoms; Wiener-Ito integrals; zero-crossing indicator problem

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

62M07: Non-Markovian processes: hypothesis testing

Related Items

A note on autocovariance estimation in the presence of discrete spectra

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multiple Wiener-Itô integral expansions for level-crossing-count functionals
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Time series discrimination by higher order crossings
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Correlation theory of stationary and related random functions. Volume I: Basic results
• On the asymptotic variance of higher order crossings with special reference to a fast white noise test
• A Stochastic Characterization of the Sine Function
• Higher order crossings spectral analysis of an almost periodic random sequence in noise
• Estimation of the Parameters in Stationary Autoregressive Processes after Hard Limiting
• The effect of a memoryless nonlinearity on the spectrum of a random process