6533b826fe1ef96bd12850d6
RESEARCH PRODUCT
Spectral Density Estimate for Stable Processes Observed with an Additive Error
Rachid Sabresubject
Health (social science)General Computer ScienceAdditive errorGeneral MathematicsSpectral DensityStable Processes01 natural sciencesEducationStable process[SPI]Engineering Sciences [physics][MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]0103 physical sciencesStatistical physics[MATH]Mathematics [math]PeriodogramGeneral Environmental ScienceMathematics010308 nuclear & particles physicsSpectral windowGeneral EngineeringEstimatorSpectral density[STAT]Statistics [stat]General EnergyRate of convergencePeriodogramConstant (mathematics)[MATH.MATH-SP]Mathematics [math]/Spectral Theory [math.SP]description
International audience; In this paper, a symmetric alpha stable process where its spectral representation has an additive error is considered. The error is supposed to be constant. A periodogram as estimator of the spectral density and its rate of convergence are given. In order to give an asymptotically unbiased and consistent estimate of the spectral density, this periodogram is smoothed by an adapted spectral window. The rate of convergence is given.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2018-11-01 | Advanced Science Letters |