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Inference for Time Series with Mixed Spectrum
The old and important problem of estimating the discontinuous (mixed) spectrum of a series containing periodic components was considered in this paper. Most nonparametric spectral estimation procedures were developed for ...
Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series
A procedure for estimating the parameters of a time series is proposed. The estimate minimizes a criterion function which is the weighted sum of squares of the distances between the periodograms and the spectrum of the ...
Detecting Periodic Components in a White Gaussian Time Series
A family of tests for periodic components in a white Gaussian series is proposed. The test is based on a statistic which is proportional to the ratio of the maximum periodogram to the trimmed mean of the periodograms. The ...
A Feature Preserving Smoother with Application to the Coal-Mining Disaster Data of Britain
The problem of estimating a discontinuous mean function was studied. A feature preserving smoothing procedure was proposed. The procedure can preserve the discontinuities of the function and detect outliers in the observations. ...