Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series
Aus der Reihe
Springer Series in Statistics
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- Hardcover
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Sprache:Englisch
Fr. 72.90
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
27.09.2011
Verlag
Springer UsSeitenzahl
324
Maße (L/B/H)
23.5/15.5/1.9 cm
Gewicht
505 g
Auflage
Softcover reprint of the original 1st ed. 1986
Übersetzt von
Samuel Kotz
Sprache
Englisch
ISBN
978-1-4612-9325-5
. . ) (under the assumption that the spectral density exists). For this reason, a vast amount of periodical and monographic literature is devoted to the nonparametric statistical problem of estimating the function tJ( T) and especially that of leA) (see, for example, the books [4,21,22,26,56,77,137,139,140,]). However, the empirical value t;; of the spectral density I obtained by applying a certain statistical procedure to the observed values of the variables Xl' . . . , X , usually depends in n a complicated manner on the cyclic frequency). . This fact often presents difficulties in applying the obtained estimate t;; of the function I to the solution of specific problems rela ted to the process X . Theref ore, in practice, the t obtained values of the estimator t;; (or an estimator of the covariance function tJ~( T» are almost always "smoothed," i. e. , are approximated by values of a certain sufficiently simple function 1 = 1
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