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Spectral density estimation for stationary stable processes

Weakly and strongly consistent nonparametric estimates, along with rates of convergence, are established for the spectral density of certain stationary stable processes. This spectral density plays a role, in linear inference problems, analogous to that played by the usual power spectral density of second order stationary processes.
Year of publication:
1984
Authors: Masry, Elias ; Cambanis, Stamatis
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 18.1984, 1, p. 1-31
Publisher: Elsevier
Keywords: stationary stable processes nonparametric spectral density estimation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874670
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