Estimation for almost periodic processes

DOI10.1214/009053606000000218MaRDI QIDQ2500448zbMATH OpenOpenAlexFDO

Authors Keh-Shin Lii, Murray Rosenblatt

Publication date 24 August 2006

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607802

zbMATH Keywords

spectral estimationperiodogramalmost periodic covariancefrequency detection and estimationGaussian and non-Gaussian processprocess maximum

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Processes with almost periodic covariance functions have spectral mass on lines parallel to the diagonal in the two-dimensional spectral plane. Methods have been given for estimation of spectral mass on the lines of spectral concentration if the locations of the lines are known. Here methods for estimating the intercepts of the lines of spectral concentration in the Gaussian case are given under appropriate conditions. The methods determine rates of convergence sufficiently fast as the sample size $noinfty$ so that the spectral estimation on the estimated lines can then proceed effectively. This task involves bounding the maximum of an interesting class of non-Gaussian possibly nonstationary processes.

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Cited in

(17)

• Estimation for a class of nonstationary processes
• ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL
• Testing for seasonal means in time series data
• On BLU-estimation with data of different periodicity
• Prediction for the processes with almost cyclostationary structure
• Spectral analysis for processes with almost periodic covariances
• A conversation with Murray Rosenblatt
• Line spectral analysis for harmonizable processes
• Subsampling for continuous-time almost periodically correlated processes
• Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function
• Time-dependent dual-frequency coherence in multivariate non-stationary time series
• Spectral analysis for harmonizable processes
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
• Spectral analysis of the covariance of the almost periodically correlated processes
• Short range and long range dependence
• Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
• scientific article; zbMATH DE number 4060584 (Why is no real title available?)

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