Estimation ospectral density of a homogeneus random stable discrete time field

• Autores: S.L. Chekhmenok, Nikolay N. Demesh
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 29, Nº. 1, 2005, págs. 101-117
• Idioma: inglés
• Títulos paralelos:
  • Estimación de la densidad espectral de un campo aleatorio homogéneo estable en tiempo discreto.
• Enlaces
  • Texto completo (pdf)
• Resumen

  • In earlier papers, 2p-periodic spectral data windows have been used in spectral estimation of discrete- time random fields having finite second-order moments. In this paper, we show that 2p-periodic spectral windows can also be used to construct estimates of the spectral density of a homogeneous symmetric a-stable discrete-time random field. These fields do not have second-order moments if 0 < a < 2. We construct an estimate of the spectrum, calculate the asymptotic mean and variance, and prove weak consistency of our estimate.