A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times

DOI10.1111/j.1467-9469.2009.00684.xzbMath1226.60027arXiv0805.0074OpenAlexW2117419306MaRDI QIDQ3103134

Pierre R. Bertrand, Jean-Marc Bardet

Publication date: 26 November 2011

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0074

zbMATH Keywords

fractional Brownian motionspectral densitycontinuous wavelet transformnon-parametric estimationGaussian processes observed at random timesheartbeat seriesmultiscale fractional Brownian motion

Mathematics Subject Classification ID

Density estimation (62G07) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

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