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Springer Series in Statistics

Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series

Authors: Dzhaparidze, K.

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. . ) (under the assumption that the spectral density exists). For this reason, a vast amount of periodical and monographic literature is devoted to the nonparametric statistical problem of estimating the function tJ( T) and especially that of leA) (see, for example, the books [4,21,22,26,56,77,137,139,140,]). However, the empirical value t;; of the spectral density I obtained by applying a certain statistical procedure to the observed values of the variables Xl' . . . , X , usually depends in n a complicated manner on the cyclic frequency). . This fact often presents difficulties in applying the obtained estimate t;; of the function I to the solution of specific problems rela ted to the process X . Theref ore, in practice, the t obtained values of the estimator t;; (or an estimator of the covariance function tJ~( T» are almost always "smoothed," i. e. , are approximated by values of a certain sufficiently simple function 1 = 1

Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $59.99
price for USA in USD
  • ISBN 978-1-4612-4842-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.00
price for USA in USD
  • ISBN 978-0-387-96141-5
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • This title is currently reprinting. You can pre-order your copy now.
Softcover $79.99
price for USA in USD
  • ISBN 978-1-4612-9325-5
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
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Bibliographic Information

Bibliographic Information
Book Title
Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series
Authors
Translated by
Kotz, S.
Series Title
Springer Series in Statistics
Copyright
1986
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York Inc.
eBook ISBN
978-1-4612-4842-2
DOI
10.1007/978-1-4612-4842-2
Hardcover ISBN
978-0-387-96141-5
Softcover ISBN
978-1-4612-9325-5
Series ISSN
0172-7397
Edition Number
1
Number of Pages
324
Additional Information
Original Russian edition published with the title: Asimptoticeski effektivnoe ocenivanie parametrov spektra gaussovskogo vremennogo rjada
Topics

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