离散时间周期相关过程谱密度矩阵的一致估计

Pub Date : 2018-07-30 DOI:10.19195/0208-4147.38.1.12

M. Azimmohseni, A. Soltani, M. Khalafi, Naeemeh Akbari Ghalesary

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引用次数: 2

摘要

在本文中，我们在光滑周期图类中引入了一个加权周期图，作为周期相关过程的谱密度矩阵的一致估计器。我们导出了它的极限分布，它似乎是Wishart分布的某个有限线性组合。我们还为我们的平滑周期图提供了数值推导，并使用模拟数据展示了它的渐近一致性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A consistent estimator for spectral density matrix of a discrete time periodically correlated process

In this article, we introduce a weighted periodogram in the class of smoothed periodograms as a consistent estimator for the spectral density matrix of a periodically correlated process. We derive its limiting distribution that appears to be a certain finite linear combination of Wishart distribution. We also provide numerical derivations for our smoothed periodogram and exhibit its asymptotic consistency using simulated data.

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