SPECTRAL DENSITY ESTIMATION FROM NONLINEARLY OBSERVED DATA

D. F. Gingras and E. Masry

Journal of Time Series Analysis, 1985, vol. 6, issue 2, 63-80

Abstract: Abstract. The estimation of the spectral density function of a stationary Gaussian process at the input of an instantaneous nonlinearity is considered when the nonlinearity is known and a finite set of observations of the output process is given. A class of spectral estimates is considered and their quadratic‐mean consistency is established; precise asymptotic expressions for their bias and covariance are derived and their asymptotic normality is obtained.

Date: 1985
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https://doi.org/10.1111/j.1467-9892.1985.tb00398.x

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