Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series
Dzhaparidze, K.
Produktnummer:
18d83f45e21a1e4710b38feb30d57c2a27
| Autor: | Dzhaparidze, K. |
|---|---|
| Themengebiete: | Analysis Estimator Gaussian distribution Likelihood Series Time Time series best fit |
| Veröffentlichungsdatum: | 27.09.2011 |
| EAN: | 9781461293255 |
| Sprache: | Englisch |
| Seitenzahl: | 324 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer US |
Produktinformationen "Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series"
. . ) (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
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