Spectral density estimation for linear processes with dependent innovations
Résumé
This paper considers the problem of estimating the spectral density of a linear process whose innovations are uncorrelated and strongly mixed. We prove that the Periodogram ordinates In(λi) at any set of frequencies λ1,…,λm,0<λ1<⋯<λm<π, are asymptotically independent exponential random variables with means 2πf(λi). Consequently the periodogram In is not a consistent estimator of 2πf. Consistent estimators can, however, be constructed by applying linear smoothing filters to the periodogram.
Domaines
Mathématiques [math]Origine | Fichiers produits par l'(les) auteur(s) |
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