Mean-square consistency of the f-truncated M^2-periodogram

DOI10.1016/J.AUTOMATICA.2022.110672zbMATH Open1505.93258OpenAlexW4308500087MaRDI QIDQ2103640FDOQ2103640

Authors: Lucia Falconi, Augusto Ferrante, Mattia Zorzi 

Publication date: 9 December 2022

Published in: Automatica (Search for Journal in Brave)

Abstract: The paper deals with the problem of estimating the M${}^2$ (i.e. multivariate and multidimensional) spectral density function of a stationary random process or random field. We propose the $f$-truncated periodogram, i.e. a truncated periodogram where the truncation point is a suitable function $f$ of the sample size. We discuss the asymptotic consistency of the estimator and we provide three concrete problems that can be solved using the proposed approach. Simulation results show the effectiveness of the procedure.

Full work available at URL: https://arxiv.org/abs/2208.11980

Recommendations

• scientific article; zbMATH DE number 4111865
• Statistical estimation of the multivariate parameter of spectral density. I
• Statistical Properties of the Periodogram for Stable Random Field
• On flat-top kernel spectral density estimators for homogeneous random fields
• scientific article; zbMATH DE number 6919724

zbMATH Keywords

consistencyspectral estimationperiodogram

Mathematics Subject Classification ID

Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A New Family of High-Resolution Multivariate Spectral Estimators
• A new approach to spectral estimation: A tunable high-resolution spectral estimator.
• ARMA Identification of Graphical Models
• Autoregressive identification of Kronecker graphical models
• Graphical interaction models for multivariate time series.
• Hellinger Versus Kullback–Leibler Multivariable Spectrum Approximation
• ON THE EFFICIENCY OF PROCEDURES FOR SMOOTHING PERIODOGRAMS FROM TIME SERIES WITH CONTINUOUS SPECTRA
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• On covariance function tests used in system identification
• Relative entropy and the multivariable multidimensional moment problem
• Spectral analysis of signals. The missing data case.
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
• Time and Spectral Domain Relative Entropy: A New Approach to Multivariate Spectral Estimation
• \(M^2\) spectral estimation: a flexible approach ensuring rational solutions
• \(M^2\)-spectral estimation: a relative entropy approach

This page was built for publication: Mean-square consistency of the \(f\)-truncated \(M^2\)-periodogram

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103640)