Optimal covariance estimation of discrete-time locally self-similar processes in time-scale and ambiguity domains

Yasaman Maleki

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 10, 4700-4712

Abstract: This paper investigates the optimal estimate of the covariance function in the sense of mean-square of errors, for the class of discrete-time locally self-similar processes. The covariance function is estimated in time-scale and ambiguity domains. Since the class of estimators is completely characterized in terms of kernels, the problem is reduced to finding the optimal kernel, which is obtained in time-scale domain. Also, the optimal kernel is computed for two classes of discrete-time locally self-similar and locally self-similar chirp processes. Furthermore, it is shown that the proposed method gives more accurate estimate than the ordinary methods for non stationary processes.

Date: 2017
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DOI: 10.1080/03610926.2015.1069352

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