On the nonparametric approaches to applied spectral analysis
2007
The nonparametric approaches to applied spectral analysis of generally stationary discrete-time stochastic processes are reviewed. The classical periodogram estimator of spectral density f(ω) of the analyzed stochastic process and the Welch-type estimator are considered in detail. Practical advice on choosing the parameters of both the statistical estimators is presented.
Keywords:
- Spectral density
- Econometrics
- Weight function
- Mathematics
- Fourier series
- Estimator
- Stochastic process
- Discrete time and continuous time
- Statistics
- Nonparametric statistics
- Maximum entropy spectral estimation
- Applied mathematics
- Computer vision
- Periodogram
- Mathematical optimization
- spectral analysis
- Artificial intelligence
- Correction
- Source
- Cite
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