交叉验证的光谱窗宽选择:连续时间几乎周期性相关过程的实例

Afrika Statistika Pub Date : 2022-04-01 DOI:10.16929/as/2022.3217.303

Sylvestre Placide Ekra, V. Monsan

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引用次数: 0

摘要

本文提出了一种方法，在估计几乎周期性相关过程的谱密度时，选择用于周期图平滑的谱窗宽度。我们提出的交叉验证程序是基于使用“省略- 1”原则对积分平方误差的估计。

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Choice of the spectral window width by cross-validation: Case of the almost periodically correlated process with continuous time

This work presents a procedure to choose the width of the spectral window used in the smoothing of a periodogram when estimating the spectral density of an almost periodically correlated process. The cross-validation procedure we propose is based on the estimation of the integrated square error using the "Leave-out-I" principle.

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Afrika Statistika

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