We suggest a sieve for the estimation of the spectral density of a Gaussian stationary stochastic process. In contrast to the standard periodogram-based estimates this one aims at exploiting the full Gaussian nature of the process.
Publié le : 1985-09-14
Classification:
Spectral density estimation,
stationary Gaussian process,
maximum likelihood method,
strong consistency,
62M15,
62G05
@article{1176349652,
author = {Chow, Yun-Shyong and Grenander, Ulf},
title = {A Sieve Method for the Spectral Density},
journal = {Ann. Statist.},
volume = {13},
number = {1},
year = {1985},
pages = { 998-1010},
language = {en},
url = {http://dml.mathdoc.fr/item/1176349652}
}
Chow, Yun-Shyong; Grenander, Ulf. A Sieve Method for the Spectral Density. Ann. Statist., Tome 13 (1985) no. 1, pp. 998-1010. http://gdmltest.u-ga.fr/item/1176349652/