Spectral density estimation for stationary stable processes

DOI10.1016/0304-4149(84)90158-3zbMath0541.62076OpenAlexW1987569454MaRDI QIDQ794377

Stamatis Cambanis, Elias Masry

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90158-3

zbMATH Keywords

Fourier transformrates of convergencespectral density estimationstrongly consistent estimateasymptotically unbiased estimatemean-square consistent estimatemodified periodogramspectral windowstationary complex symmetric stable processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (10)

On stochastic integral representation of stable processes with sample paths in Banach spaces ⋮ Ergodic properties of stationary stable processes ⋮ Limit theorems for stable processes with application to spectral density estimation ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Estimation of Additive Error in Mixed Spectra for Stable Processes ⋮ Prediction of stable processes: Spectral and moving average representations ⋮ Harmonizable stable processes on groups: spectral, ergodic and interpolation properties ⋮ Spectral density estimation for symmetric stable p-adic processes ⋮ Two classes of self-similar stable processes with stationary increments ⋮ A Model for the Failure Process of Semicrystalline Polymer Materials under Static Fatigue

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