A Sieve Method for the Spectral Density

Yun-Shyong Chow; Ulf Grenander

doi:10.1214/aos/1176349652

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Home > Journals > Ann. Statist. > Volume 13 > Issue 3 > Article

September, 1985 A Sieve Method for the Spectral Density

Yun-Shyong Chow, Ulf Grenander

Ann. Statist. 13(3): 998-1010 (September, 1985). DOI: 10.1214/aos/1176349652

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Abstract

We suggest a sieve for the estimation of the spectral density of a Gaussian stationary stochastic process. In contrast to the standard periodogram-based estimates this one aims at exploiting the full Gaussian nature of the process.

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Yun-Shyong Chow. Ulf Grenander. "A Sieve Method for the Spectral Density." Ann. Statist. 13 (3) 998 - 1010, September, 1985. https://doi.org/10.1214/aos/1176349652