Some asymptotic properties of a kernel spectrum estimate with different multitapers

Teamah A. A. M. , Bakouch H. B.
Владикавказский математический журнал. . Том 9. 2007 г.. Выпуск 1.

Аннотация:
The paper deals with estimation of a spectral density function on non-overlapped and overlapped segments using different multitapers and different kernels with a bandwidth parameter of a discrete parameter stationary time series. Asymptotic expressions of the mean and variance for the constructed estimator are obtained including properties of different multitapered periodograms. Also, we investigate an optimal choice of the bandwidth. Furthermore, we give an asymptotic expression of the integrated relative mean squared error of this estimator.
                

Ключевые слова: stationary time series, non-overlapped and overlapped segments, multitapering, kernels, bandwidth, spectrum estimate.

Язык статьи: Русский Загрузить полный текст