On estimating linear functional of the covariance function of a stationary process
作者:
U. Haberzettl,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1997)
卷期:
Volume 15,
issue 5
页码: 759-782
ISSN:0736-2994
年代: 1997
DOI:10.1080/07362999708809506
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
A general estimator for linear functionals of the covariance function of a stationary process is investigated. The rate of convergence is obtained for a large class of functionals. The rate depends essentially on the functional. This yields an explanation of the different rates of convergence for various spectral estimates. The asymptotic normality of the estimator is proved under integrability conditions on the cumulant functions
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