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Spectral Density Estimation From Nonlinearly Observed Data

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  • D. F. Gingras
  • E. Masry

Abstract

. The estimation of the spectral density function of a stationary Gaussian process at the input of an instantaneous nonlinearity is considered when the nonlinearity is known and a finite set of observations of the output process is given. A class of spectral estimates is considered and their quadratic‐mean consistency is established; precise asymptotic expressions for their bias and covariance are derived and their asymptotic normality is obtained.

Suggested Citation

  • D. F. Gingras & E. Masry, 1985. "Spectral Density Estimation From Nonlinearly Observed Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(2), pages 63-80, March.
    • Handle: RePEc:bla:jtsera:v:6:y:1985:i:2:p:63-80
    DOI: 10.1111/j.1467-9892.1985.tb00398.x
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