Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series (Springer Series in Statistics) Dzhaparidze, K. and Kotz, Samuel

Dzhaparidze, K.

ISBN 10: 0387961410 / ISBN 13: 9780387961415

Edité par Springer, 1985

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extremities to the book with foxing to the outer edge with a inscription to the intro page but does not affect the content.

N° de réf. du vendeur 134128

Détails bibliographiques

• Titre: Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series (Springer Series in Statistics) Dzhaparidze, K. and Kotz, Samuel
• Éditeur: Springer
• Date de parution: 1985
• Langue: anglais
• ISBN à 10 chiffres: 0387961410
• ISBN à 13 chiffres: 9780387961415
• Reliure: Couverture rigide
• État de l'article: Good

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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