Estimation of population spectrum for linear processes with random coefficients |
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Authors: | P Saavedra C N Hernández I Luengo J Artiles A Santana |
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Institution: | (1) Department of Mathematics, University of Las Palmas de Gran Canaria, 35017 Las Palmas de Gran Canaria, Canary Islands, Spain |
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Abstract: | A set of time series generated by stationary linear processes with an absolutely continuous spectral distribution is analysed.
The time series can then be considered realizations of a linear process of random coefficients. Likewise, each spectral density
function is a realization of a stochastic process whose function of means is called a population spectrum. We propose a kernel
estimator for the population spectrum and give conditions for its consistency. We then illustrate the properties of this estimator
in a simulation study and compare its performance with an alternative parametric estimator that can be found in the literature.
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Keywords: | Linear processes of random parameters Population spectrum Consistency |
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