|Title:||Estimation of population spectrum for linear processes with random coefficients||Authors:||Saavedra Santana, Pedro
Hernández, C. N.
|UNESCO Clasification:||120903 Análisis de datos
Linear processes of random parameters
|Issue Date:||2008||Journal:||Computational Statistics||Abstract:||A set of time series generated by stationary linear processes with an absolutely continuous spectral distribution is analysed. The time series can then be considered realizations of a linear process of random coefficients. Likewise, each spectral density function is a realization of a stochastic process whose function of means is called a population spectrum. We propose a kernel estimator for the population spectrum and give conditions for its consistency. We then illustrate the properties of this estimator in a simulation study and compare its performance with an alternative parametric estimator that can be found in the literature.||URI:||http://hdl.handle.net/10553/47409||ISSN:||0943-4062||DOI:||10.1007/s00180-007-0069-5||Source:||Computational Statistics [ISSN 0943-4062], v. 23 (1), p. 79-98|
|Appears in Collections:||Artículos|
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