On the estimation of periodic signals in the diffusion process using a high-frequency scheme

DOI10.1515/mcma-2023-2020OpenAlexW4388564138MaRDI QIDQ6123186

Ristu Saptono, Getut Pramesti

Publication date: 4 March 2024

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2023-2020

zbMATH Keywords

periodicityhigh frequency signalsfrequency component

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic behavior of solutions to PDEs (35B40) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cites Work

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• On the estimation of a harmonic component in a time series with stationary independent residuals
• The simultaneous estimation of a time series harmonic components and covariance structure

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