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Displaying similar documents to “On covariance generating functions and spectral densities of periodically correlated autoregressive processes.”

On spectral bandwidth of a stationary random process

Vladimír Klega (1983)

Aplikace matematiky

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The irregularity coefficient is one of the numerical characteristics of the spectral bandwith of a stationary random process. Its basic properties are investigated and the application to the dichotomic classification of a process into narrow-band and wide-band ones is given. Further, its behaviour is analyzed for sufficiently wide classes of stationary processes whose spectral densities frequently appear both in theory and applications.

Statistical estimation of higher-order spectral densities by means of general tapering

M'hammed Baba Harra (1997)

Applicationes Mathematicae

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Given a realization on a finite interval of a continuous-time stationary process, we construct estimators for higher order spectral densities. Tapering and shift-in-time methods are used to build estimators which are asymptotically unbiased and consistent for all admissible values of the argument. Asymptotic results for the fourth-order densities are given. Detailed attention is paid to the nth order case.