Asymptotic normality of sample autocovariances with an application in frequency estimation

DOI10.1016/0304-4149(94)90032-9zbMath0814.62056OpenAlexW2047732275MaRDI QIDQ1338753

Sid Yakowitz, Ta-Hsin Li, Benjamin Kedem-Kimelfeld

Publication date: 18 June 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90032-9

zbMATH Keywords

time seriesfrequency estimationlinear filteringasymptotic normality of sample autocovariancesmixed-spectra

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Bartlett-type formulas for complex multivariate time series of mixed spectra ⋮ Asymptotic normality of the sample mean and covariances of evanescent fields in noise ⋮ A statistically and computationally efficient method for frequency estimation ⋮ Autoregressive frequency detection using regularized least squares

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The maximum of the periodogram
• Time series: theory and methods
• THE ZERO-CROSSING RATE OF AUTOREGRESSIVE PROCESSES AND ITS LINK TO UNIT ROOTS
• SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA
• On frequency estimation
• Higher order crossings spectral analysis of an almost periodic random sequence in noise
• A fast efficient technique for the estimation of frequency
• Strong consistency of the contraction mapping method for frequency estimation
• Asymptotic theory for a fast frequency detector
• Martingale Central Limit Theorems
• On the estimation of a harmonic component in a time series with stationary independent residuals

This page was built for publication: Asymptotic normality of sample autocovariances with an application in frequency estimation