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

Dzhaparidze, K.

ISBN 10: 1461293251 / ISBN 13: 9781461293255

Verlag: Springer 2011-09, 2011

Beschreibung

Bestandsnummer des Verkäufers 6666-IUK-9781461293255

Bibliografische Details

• Titel: Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series
• Verlag: Springer 2011-09
• Erscheinungsjahr: 2011
• Sprache: Englisch
• ISBN-10: 1461293251
• ISBN-13: 9781461293255
• Einband: PF
• Zustand: New

Über diesen Titel

Inhaltsangabe

. . ) (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 "smoothed," i. e. , are approximated by values of a certain sufficiently simple function 1 = 1