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http://hdl.handle.net/10553/47409
Title: | Estimation of population spectrum for linear processes with random coefficients | Authors: | Saavedra Santana, Pedro Hernández, C. N. Luengo, I. Artiles, J. Santana, A. |
UNESCO Clasification: | 120903 Análisis de datos 240401 Bioestadística |
Keywords: | Consistency Linear processes of random parameters Population spectrum |
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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