A NOTE ON AUTOCOVARIANCE ESTIMATION IN THE PRESENCE OF DISCRETE SPECTRA

被引：0
|
作者：
HOUDRE, C
KEDEM, B
机构：
[1] UNIV PARIS 09, CEREMADE, F-75775 PARIS, FRANCE
[2] ECOLE NATL PONTS & CHAUSSEES, CERMA, F-93167 NOISY LE GRAND, FRANCE
[3] UNIV MARYLAND, DEPT MATH, COLLEGE PK, MD 20742 USA
[4] UNIV MARYLAND, SYST RES INST, COLLEGE PK, MD 20742 USA
来源：
STATISTICS & PROBABILITY LETTERS | 1995年 / 24卷 / 01期
基金：
美国国家科学基金会;
关键词：
MIXED SPECTRUM; SLLN; STATIONARY; SAMPLE COVARIANCE; ALMOST SURE; AMPLITUDE; PHASE; ZERO-CROSSING RATE;
D O I：
10.1016/0167-7152(94)00141-T
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We provide a necessary and sufficient condition for the almost sure convergence and the strong consistency of the sample autocovariance of a discrete spectrum weakly stationary process. This also clarifies the estimation of the autocovariance function of a mixed spectrum weakly stationary process.
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页码：1 / 8
页数：8
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