Asymptotically Efficient Estimation of Spectral Moments

نویسندگان

  • M.
  • M. N.
چکیده

Abstmet-This correspondence studies parametric estimatioll of spectral moments of a zero-mean complex Gaussian stationary pmcess immersed in independent Gaussian noise. With the merit of the maximum-likelihood @lL) approach as motivation, this work exploits a Whittle's type objective function that is able to capture the relevant feabues of the log-likelihmdfunction while b e i i much more manageable. The resultiag estimates are strongly consistent and aq~~ptotically eUicient.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Asymptotically efficient estimation of spectral moments

This paper studies parametric estimation of spectral moments of a zero-mean complex Gaussian stationary process immersed in independent Gaussian noise. With the merit of the maximum-likelihood (ML) approach as motivation, this work exploits a Whittle’s type objective function able to capture the relevant features of the log-likelihood function, while being much more manageable. The resulting es...

متن کامل

Determination of Stability Domains for Nonlinear Dynamical Systems Using the Weighted Residuals Method

Finding a suitable estimation of stability domain around stable equilibrium points is an important issue in the study of nonlinear dynamical systems. This paper intends to apply a set of analytical-numerical methods to estimate the region of attraction for autonomous nonlinear systems. In mechanical and structural engineering, autonomous systems could be found in large deformation problems or c...

متن کامل

Two-stage Procedure in P-Order Autoregressive Process

In this paper, the two-stage procedure is considered for autoregressive parameters estimation in the p-order autoregressive model ( AR(p)). The point estimation and fixed-size confidence ellipsoids construction are investigated which are based on least-squares estimators. Performance criteria are shown including asymptotically risk efficient, asymptotically efficient, and asymptotically consist...

متن کامل

Statistical inference of spectral estimation for continuous-time MA processes with finite second moments

In this paper we investigate a continuous-time MA (moving average) process (Xt)t≥0 sampled at an equally spaced time grid {∆,2∆, . . . ,n∆}, where the grid distance ∆ > 0 is fixed and n denotes the number of observations, in the frequency domain. We derive for the process (Xk∆)k∈N with finite second moments the asymptotic behavior of the periodogram and of the lag-window spectral density estima...

متن کامل

On Parameter Estimation of Hidden Telegraph Process

The problem of parameter estimation is considered for the twostate telegraph process, observed in white Gaussian observation noise. An online one-step Maximum Likelihood Estimator (MLE) process is constructed, using a preliminary Method of Moments (MM) estimator. The obtained estimation procedure is shown to be asymptotically normal and efficient in the large sample regime. MSC 2000 Classificat...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 1995