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Welch-type spectral density estimator. Additional recommendations

โœ Scribed by V. G. Alekseev; V. A. Sukhodoev


Book ID
111510945
Publisher
Allerton Press Inc
Year
2008
Tongue
English
Weight
57 KB
Volume
44
Category
Article
ISSN
8756-6990

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An important problem in time series is the estimation of the spectral density or spectrum of a stationary process. In this paper we propose to use an M-type smoothing spline to estimate the spectrum. We derive some general results for these type of estimators which allow us to choose the optimal M-t