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Welch-type spectral density estimator. Additional recommendations

✍ 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
DOI: 10.3103/s8756699008040031

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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