Estimation of the Spectrum
Murthy, V. K.
Ann. Math. Statist., Tome 32 (1961) no. 4, p. 730-738 / Harvested from Project Euclid
This paper extends some results of Grenander [1] relating to discrete real stationary normal processes with absolutely continuous spectrum to the case in which the spectrum also contains a step function with a finite number of salt uses. It is shown by Grenander [1] that the periodogram is an asymptotically unbiased estimate of the spectral density $f(\lambda)$ and that its variance is $\lbrack f(\lambda)\rbrack^2$ or $2\lbrack f(\lambda)\rbrack^2$, according as $\lambda \neq 0$ or $\lambda = 0$. In the present paper the same results are established at a point of continuity. The consistency of a suitably weighted periodogram for estimating $f(\lambda)$ is established by Grenander [1]. In this paper a weighted periodogram estimate similar to that of Grenander (except that the weight function is more restricted) is constructed which consistently estimates the spectral density at a point of continuity. It appears that this extended result leads to a direct approach to the location of a single periodicity irrespective of the presence of others in the time series.
Publié le : 1961-09-14
Classification: 
@article{1177704968,
     author = {Murthy, V. K.},
     title = {Estimation of the Spectrum},
     journal = {Ann. Math. Statist.},
     volume = {32},
     number = {4},
     year = {1961},
     pages = { 730-738},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177704968}
}
Murthy, V. K. Estimation of the Spectrum. Ann. Math. Statist., Tome 32 (1961) no. 4, pp.  730-738. http://gdmltest.u-ga.fr/item/1177704968/