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

DOI10.1016/J.AUTOMATICA.2022.110672MaRDI QIDQ2103640zbMATH OpenOpenAlexFDO

Authors Lucia Falconi, Augusto Ferrante, Mattia Zorzi

Publication date 9 December 2022

Published in Automatica (Search for Journal in Brave)

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

zbMATH Keywords

consistencyspectral estimationperiodogram

Mathematics Subject Classification ID

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

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.

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