Now showing items 1-4 of 4
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. ...
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 ...