Spectral density estimation for stationary stable processes

Elias Masry and Stamatis Cambanis

Stochastic Processes and their Applications, 1984, vol. 18, issue 1, 1-31

Abstract: Weakly and strongly consistent nonparametric estimates, along with rates of convergence, are established for the spectral density of certain stationary stable processes. This spectral density plays a role, in linear inference problems, analogous to that played by the usual power spectral density of second order stationary processes.

Keywords: stationary; stable; processes; nonparametric; spectral; density; estimation (search for similar items in EconPapers)
Date: 1984
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