On the behavior of a Capon-type spectral density estimator

DOI10.1214/AOS/1176325773zbMath0831.62070OpenAlexW2084079219MaRDI QIDQ1896254

Evangelos E. Ioannidis

Publication date: 13 February 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176325773

zbMATH Keywords

asymptotic normalityquadratic formspectrummaximum likelihood methodstationary time seriesasymptotic equivalencecovariance matrix estimationleakage effectasymptotic bias and variancespectral estimatorautomatic adaptive windowingCapon estimatorhigh resolution estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Nonlinear spectral density estimation: thresholding the correlogram ⋮ A new non‐parametric cross‐spectrum estimator ⋮ Akaike’s information criterion correction for the least-squares autoregressive spectral estimator

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