An Estimator for the Spectral Density of a Stationary Time Sequence
The Annals of Statistics · 1977 · Volume 5 · Issue 3
Abstract
An estimator for the spectral density of a stationary time sequence is introduced. The form of the estimator is motivated by the analogy with the summability theory of Fourier series. A theorem relating to rate of consistency is proved. The effect of a mean correction is considered.
Keywords
62M15, rate of consistency, Spectral density, stationary time series
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