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Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process

Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process We propose a method for estimating mean squared error and bandwidth in the windowed spectral density estimation of a stationary Gaussian process, and also provide a method for estimating the second order derivative of the spectral density function. The asymptotic properties and the convergence rates of the estimators are given. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Bandwidth selection in nonparametric spectral density estimation of the stationary Gaussian process

Acta Mathematicae Applicatae Sinica , Volume 12 (4) – Jul 16, 2005

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Publisher
Springer Journals
Copyright
Copyright © 1996 by Science Press, Beijing, China and Allerton Press, Inc., New York, U.S.A.
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02029063
Publisher site
See Article on Publisher Site

Abstract

We propose a method for estimating mean squared error and bandwidth in the windowed spectral density estimation of a stationary Gaussian process, and also provide a method for estimating the second order derivative of the spectral density function. The asymptotic properties and the convergence rates of the estimators are given.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jul 16, 2005

References