Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series - Couverture rigide

Dzhaparidze, K.

Couverture rigide

ISBN 10 : 0387961410 ISBN 13 : 9780387961415

Editeur : Springer-Verlag New York Inc., 1985

Synopsis

. . ) (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

Détails de l'édition

• Éditeur: Springer-Verlag New York Inc.
• Date d'édition: 1985
• Langue: anglais
• ISBN 10: 0387961410
• ISBN 13: 9780387961415
• Reliure: Relié
• Nombre de pages: 324
• Coordonnées du fabricant: KINESIS; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; 22391; Allemagne