Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series (eBook)

K. Dzhaparidze (Autor)

eBook Download: PDF

2012
Springer New York (Verlag)
978-1-4612-4842-2 (ISBN)

Infos

. . ) (under the assumption that the spectral density exists). For this reason, a vast amount of periodical and monographic literature is devoted to the nonparametric statistical problem of estimating the function tJ( T) and especially that of leA) (see, for example, the books [4,21,22,26,56,77,137,139,140,]). However, the empirical value t;; of the spectral density I obtained by applying a certain statistical procedure to the observed values of the variables Xl' . . . , X , usually depends in n a complicated manner on the cyclic frequency). . This fact often presents difficulties in applying the obtained estimate t;; of the function I to the solution of specific problems rela ted to the process X . Theref ore, in practice, the t obtained values of the estimator t;; (or an estimator of the covariance function tJ~( T are almost always "e;smoothed,"e; i. e. , are approximated by values of a certain sufficiently simple function 1 = 1

Produkt-Details

• Erscheint lt. Verlag: 6.12.2012
• Übersetzer: Samuel Kotz
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Geometrie / Topologie
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 1-4612-4842-6 / 1461248426
• ISBN-13: 978-1-4612-4842-2 / 9781461248422