Advanced Search
MyIDEAS: Login

Estimation for a class of nonstationary processes

Contents:

Author Info

  • Lii, Keh-Shin
  • Rosenblatt, Murray
Registered author(s):

    Abstract

    Random processes with almost periodic covariance function are considered from a spectral outlook. Given suitable conditions, spectral estimation problems are discussed for Gaussian processes of this type that are neither stationary nor locally stationary. Spectral mass is concentrated on lines parallel to the main diagonal in the spectral plane. A method of estimation of the support of spectral mass under appropriate restraints is considered. Some open questions are discussed. Extension of the methods for a class of nonGaussian nonstationary processes with mean value function a trigonometric regression is given. Consistent estimates for frequency, amplitude and phase of the regression are noted when the residual process is zero mean almost periodic. The resulting estimation of the spectral mass of the residual is also considered.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/pii/S0167715211002112
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 81 (2011)
    Issue (Month): 11 (November)
    Pages: 1612-1622

    as in new window
    Handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1612-1622

    Contact details of provider:
    Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

    Order Information:
    Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
    Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

    Related research

    Keywords: Almost periodicity Trigonometric regression Nonstationarity Parameter estimation;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1612-1622. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.