Estimation for almost periodic processes

DOI10.1214/009053606000000218zbMATH Open1113.62111arXivmath/0607802OpenAlexW2951472092MaRDI QIDQ2500448FDOQ2500448

Authors: Keh-Shin Lii, Murray Rosenblatt 

Publication date: 24 August 2006

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

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.

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

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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)

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Cited In (17)

• Subsampling for continuous-time almost periodically correlated processes
• Spectral analysis for harmonizable processes
• Title not available (Why is that?)
• Time-dependent dual-frequency coherence in multivariate non-stationary time series
• A conversation with Murray Rosenblatt
• Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function
• Prediction for the processes with almost cyclostationary structure
• Spectral analysis for processes with almost periodic covariances
• ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL
• Spectral analysis of the covariance of the almost periodically correlated processes
• Line spectral analysis for harmonizable processes
• On BLU-estimation with data of different periodicity
• Short range and long range dependence
• Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
• Testing for seasonal means in time series data
• Estimation for a class of nonstationary processes
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes

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