| ASYMPTOTIC BEHAVIOR OF BOOTSTRAP SPECTRAL WINDOW ESTIMATION |
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| 引用本文： | 于丹. ASYMPTOTIC BEHAVIOR OF BOOTSTRAP SPECTRAL WINDOW ESTIMATION[J]. 应用数学学报(英文版), 1997, 13(2): 123-129. DOI: 10.1007/BF02015133 |
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| 作者姓名： | 于丹 |
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| 作者单位： | Institute of Systems Science，the Chinese Academy of Sciences，Beijing 100080，China |
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| 摘 要： | ThisprojectissupportedbytheNationalNaturalScienceFoundationofChina.1.IntroductionLetX~{X(t);t=0,FI,12,'}beazerthmeantunitvariancestationaryGaussianprocess,theautocovariancefunction7(u)=EX(n u)X(n)satisfySupposethatthespectraldensityfunctionisf(A)andspectraldistributionfunctionisF(A)oftheprocessX,wherewerestrictAwithin11(if=[--x,7]).Fromtheassumptionsabove,wecaneasilyseethatthef(A)isjustaprobabilitydensityfunction,andF(A)isaprobabilitydistributionfunction.LetX(1),'tX(n)betheobserv…
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| 收稿时间： | 1992-06-26 |
Asymptotic behavior of bootstrap spectral window estimation |
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| Dan Yu. Asymptotic behavior of bootstrap spectral window estimation[J]. Acta Mathematicae Applicatae Sinica, 1997, 13(2): 123-129. DOI: 10.1007/BF02015133 |
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| Authors: | Dan Yu |
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| Affiliation: | (1) Institute of Systems Science, the Chinese Academy of Sciences, 100080 Beijing, China |
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| Abstract: | This paper is concerned with the nonparametric spectral density estimation of a stationary Gaussian process. A new estimator of the spectral density is proposed by the bootstrap method. The asymptotic behavior of the estimate has been studied. The consistency and asymptotic normality of the estimate are given. |
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| Keywords: | Stationary processes bootstrap spectral density Gaussian process periodogram spectral window |
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