首页   按字顺浏览 期刊浏览 卷期浏览 THE DISTRIBUTION OF PERIODOGRAM ORDINATES
THE DISTRIBUTION OF PERIODOGRAM ORDINATES

 

作者: Chen Zhao‐Guo,   E. J. Hannan,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1980）
卷期: Volume 1, issue 1  

页码: 73-82

 

ISSN:0143-9782

 

年代: 1980

 

DOI:10.1111/j.1467-9892.1980.tb00301.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Periodogram;Fourier Coefficients;spectrum;empirical distribution function;asymptotic expansion for distribution of sum of independent random variables

 

数据来源: WILEY

 

摘要:

Abstract.The empirical distribution function of yi=I(ωj)/{2πf(ωj)}, ωj= 2πj/T, whereI(ω) is the periodogram for a set of observations from a stationary time series with spectral densityf(ω), is shown to converge, almost surely, to the distribution with density exp(‐ x), under appropriate conditions. The same methods are used to prove the convergence, almost surely, of an estimate of the prediction error variance constructed from theI(ωj) and of the complex empirical distribution function based on the Fourier coe

 

点击下载:  PDF (415KB)



返 回