An estimator for the spectral density of a stationary time sequence is introduced. The form of the estimator is motivated by the analogy with the summability theory of Fourier series. A theorem relating to rate of consistency is proved. The effect of a mean correction is considered.
Publié le : 1977-05-14
Classification:
Stationary time series,
rate of consistency,
spectral density,
62M15
@article{1176343852,
author = {Butcher, A. C.},
title = {An Estimator for the Spectral Density of a Stationary Time Sequence},
journal = {Ann. Statist.},
volume = {5},
number = {1},
year = {1977},
pages = { 541-543},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343852}
}
Butcher, A. C. An Estimator for the Spectral Density of a Stationary Time Sequence. Ann. Statist., Tome 5 (1977) no. 1, pp. 541-543. http://gdmltest.u-ga.fr/item/1176343852/