Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155210 | Statistics & Probability Letters | 2008 | 11 Pages |
Abstract
This paper considers the problem of estimating the spectral density of a linear process whose innovations are uncorrelated and strongly mixed. We prove that the Periodogram ordinates In(λi)In(λi) at any set of frequencies λ1,…,λm,0<λ1<⋯<λm<πλ1,…,λm,0<λ1<⋯<λm<π, are asymptotically independent exponential random variables with means 2πf(λi)2πf(λi). Consequently the periodogram InIn is not a consistent estimator of 2πf2πf. Consistent estimators can, however, be constructed by applying linear smoothing filters to the periodogram.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nadia Bensaïd, Ouafae Yazourh-Benrabah,