Accession Number:

ADA070641

Title:

Discrete-Time Spectral Estimation of Continuous-Time Processes - the Orthogonal Series Method (Spectral Estimation by Orthogonal Series),

Descriptive Note:

Corporate Author:

CALIFORNIA UNIV SAN DIEGO LA JOLLA DEPT OF APPLIED PHYSICS AND INFORMATION SCIENCE

Personal Author(s):

Report Date:

1979-04-01

Pagination or Media Count:

18.0

Abstract:

Let X Xt, - infinity t infinity be a stationary time series with spectral density function philambda. Let t sub n be a stationary poisson point process on - infinity, infinity, independent of X. The existence of consistent estimates of philambda based on the discrete-time observations Xt sub n, when the actual sampling instants t sub n are not known, has been an open question. Using an orthogonal series method, a class of spectral estimates is considered and its uniform and integratedly uniform consistency in quadratic mean is established. The rates of convergence are determined and compared with those of the kernel-type estimates based on the observations Xt sub n, t sub n. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE