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Estimation for a class of nonstationary processes


  • Lii, Keh-Shin
  • Rosenblatt, Murray


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.

Suggested Citation

  • Lii, Keh-Shin & Rosenblatt, Murray, 2011. "Estimation for a class of nonstationary processes," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1612-1622, November.
  • Handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1612-1622

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