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Asymptotic normality of the sample mean and covariances of evanescent fields in noise

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  • Kliger, Mark
  • Francos, Joseph M.
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    Abstract

    We consider the asymptotic properties of the sample mean and the sample covariance sequence of a field composed of the sum of a purely indeterministic and evanescent components. The asymptotic normality of the sample mean and sample covariances is established. A Bartlett-type formula for the asymptotic covariance matrix of the sample covariances of this field, is derived.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-4P1G9HC-1/2/c65212519aa996763ac8178f161d0b3f
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 98 (2007)
    Issue (Month): 10 (November)
    Pages: 1853-1875

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    Handle: RePEc:eee:jmvana:v:98:y:2007:i:10:p:1853-1875

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    Related research

    Keywords: Homogeneous random fields Evanescent random fields Asymptotic normality;

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    1. Kallianpur, G. & Miamee, A. G. & Niemi, H., 1990. "On the prediction theory of two-parameter stationary random fields," Journal of Multivariate Analysis, Elsevier, vol. 32(1), pages 120-149, January.
    2. Li, Ta-Hsin, 1996. "Bartlett-type formulas for complex multivariate time series of mixed spectra," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 259-268, July.
    3. Li, Ta-Hsin & Kedem, Benjamin & Yakowitz, Sid, 1994. "Asymptotic normality of sample autocovariances with an application in frequency estimation," Stochastic Processes and their Applications, Elsevier, vol. 52(2), pages 329-349, August.
    4. Chiang, Tse-Pei, 1991. "The prediction theory of stationary random fields. III. Fourfold Wold decompositions," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 46-65, April.
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