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On estimation of the integrals of certain functions of spectral density

Published online by Cambridge University Press:  14 July 2016

Masanobu Taniguchi
Masanobu Taniguchi*
Affiliation:
Hiroshima University
*
∗Postal address: Department of Applied Mathematics, Faculty of Engineering, Hiroshima University, Hiroshima, 730 Japan.
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Abstract

Let g(x) be the spectral density of a Gaussian stationary process. Then, for each continuous function ψ (x) we shall give an estimator of whose asymptotic variance is O(n–1), where Φ(·) is an appropriate known function. Also we shall investigate the asymptotic properties of its estimator.

Keywords

GAUSSIAN STATIONARY PROCESSSPECTRAL DENSITYPERIODOGRAMLAPLACE TRANSFORM
Type
Research Papers
Information
Journal of Applied Probability , Volume 17 , Issue 1 , March 1980 , pp. 73 - 83
Copyright
Copyright © Applied Probability Trust 1980 

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References

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