Spectral estimation of continuous-time stationary processes from random sampling

DOI10.1016/0304-4149(94)90099-XzbMATH Open0814.62058MaRDI QIDQ1336985FDOQ1336985

Authors: Keh-Shin Lii, Elias Masry 

Publication date: 14 June 1995

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

Recommendations

• ON THE SELECTION OF RANDOM SAMPLING SCHEMES FOR THE SPECTRAL ESTIMATION OF CONTINUOUS TIME PROCESSES
• Spectral density estimation from random sampling for multiplicative stationary processes
• Comparison of two sampling schemes in the spectral estimation of processes with random stationary \(n\)th increments
• scientific article; zbMATH DE number 972661
• Direct estimation of the spectrum of stationary stochastic processes
• scientific article; zbMATH DE number 4124707
• scientific article; zbMATH DE number 4111865
• Spectral estimation for diffusions with random sampling times

zbMATH Keywords

covariancespectral densityasymptotic variancenormalityasymptotic biasmultivariate central limit theoremcontinuous-time stationary processstationary point processspectral estimatorsalias-free samplingPoisson sampling schemesampling point process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Title not available (Why is that?)
• Alias-Free Sampling of Random Noise
• Title not available (Why is that?)
• Title not available (Why is that?)
• Model fitting for continuous-time stationary processes from discrete-time data
• Alias-free sampling: An alternative conceptualization and its applications
• Title not available (Why is that?)
• Discrete-time spectral estimation of continuous-time processes The orthogonal series method
• Title not available (Why is that?)
• Poisson sampling and spectral estimation of continuous-time processes
• Non-parametric covariance estimation from irregularly-spaced data

Cited In (38)

• Asymptotic confidence interval of power spectrum of a continuous time process through progressively faster sampling
• Mixed-spectra analysis for stationary random fields
• Title not available (Why is that?)
• Parameter estimation of continuous-time stationary Gaussian processes with rational spectra
• Strong consistency with rates of spectral estimation of continuous-time processes: from periodic and poisson sampling schemes
• Title not available (Why is that?)
• Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
• Variance or spectral density in sampled data filtering?
• Title not available (Why is that?)
• Estimating the spectral density, autocovariance function and spectral measure of continuous-time stationary processes
• Title not available (Why is that?)
• Time series with Poisson point process.
• ON THE SELECTION OF RANDOM SAMPLING SCHEMES FOR THE SPECTRAL ESTIMATION OF CONTINUOUS TIME PROCESSES
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Spectral density estimation for \(p\)-adic stationary processes
• Sampling of Spectrally Correlated Processes
• Statistical analysis of broadend periodogram for continuous time stationary processes
• Autoregression and irregular sampling: spectral estimation.
• ASYMPTOTIC PROPERTY OF SPECTRAL DENSITY ESTIMATORS OF A CONTINUOUS TIME PROCESS ALMOST PERIODICALLY CORRELATED LOW DEPENDENT BY POISSON
• Sur la convergence uniforme presque complète dans l'estimation de la densité spectrale d'un processus à temps continu après échantillonnage du temps (On the almost complete and uniform convergence of spectral density estimation for a continuous-parameter process from time sampling)
• A theoretical exposition of stationary processes sampling
• Model fitting for continuous-time stationary processes from discrete-time data
• Large sample properties of spectral estimators for a class of stationary nonlinear processes
• Empirical Bayes identification of stationary processes and approximation of Toeplitz spectra
• On the statistical properties of a stationary process sampled by a stationary point process
• Spectral density estimation from random sampling for multiplicative stationary processes
• Spectral analysis of stochastically sampled dynamic systems
• On the estimation of the mean of a random process from irregular observations
• Frequency estimation based on the cumulated Lomb-Scargle periodogram
• Estimation of Continuous-Time Stochastic Signals From Sample Covariances
• Independent sampling of a stochastic process
• A non-parametric estimator of the spectral density of a continuous-time Gaussian process observed at random times
• Efficient estimation of spectral functionals for continuous-time stationary models
• Spectral estimation for non-linear long range dependent discrete time trawl processes
• RANDOM SAMPLING ESTIMATION FOR ALMOST PERIODICALLY CORRELATED PROCESSES
• On spectral properties of stationary random processes connected by a special random time change
• Random discretization of stationary continuous time processes
• Comparison of two sampling schemes in the spectral estimation of processes with random stationary \(n\)th increments

This page was built for publication: Spectral estimation of continuous-time stationary processes from random sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1336985)