SPECTRAL ANALYSIS FOR AMPLITUDE‐MODULATED TIME SERIES

Clélia M. C. Toloi and Pedro A. Morettin

Journal of Time Series Analysis, 1993, vol. 14, issue 4, 409-432

Abstract: Abstract. Let {X(n)} be a non‐observed strictly stationary process, {a(n)} a sequence independent of {X(n)} and Y(n) =a(n)X(n) the observed process. This work deals with the estimation of the spectral density function fx(Λ) of the process of interest, {X(n)}, using observations of the modulated process {Y(n)}. We obtain estimators of fx(Λ) for three types of modulating functions:deterministic, random independent and random correlated.

Date: 1993
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https://doi.org/10.1111/j.1467-9892.1993.tb00154.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:4:p:409-432

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