PEAK-INSENSITIVE NON-PARAMETRIC SPECTRUM ESTIMATION

DOI10.1111/j.1467-9892.1994.tb00203.xzbMath0808.62084OpenAlexW1981109657MaRDI QIDQ4319841

Rainer von Sachs

Publication date: 12 March 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00203.x

zbMATH Keywords

outliersrobustnessfrequency domainsimulationconsistencyasymptotic normalityspectral densitykernel estimator\(M\)-estimationstationary time seriescontaminationspectrum estimationsmoothed periodogramfinite sample performanceperiodic componentsGaussian time seriesasymptotically exponential sampledata-tapered periodogramFourier transform outlierssearch for hidden frequencies

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

MULTI-FREQUENTIAL PERIODOGRAM ANALYSIS AND THE DETECTION OF PERIODIC COMPONENTS IN TIME SERIES ⋮ Testing for a jump in the periodogram ⋮ Frequency estimation based on the cumulated Lomb-Scargle periodogram ⋮ Moment bounds for non-linear functionals of the periodogram

Cites Work

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• Peak-insensitive parametric spectrum estimation
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• On bootstrapping kernel spectral estimates
• Consistent estimates for hidden frequencies in a linear process
• On estimation of the integrals of certain functions of spectral density
• Asymptotic expansions for sums of weakly dependent random vectors
• Robust Estimation of a Location Parameter

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