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A Sieve Method for the Spectral Density
Yun-Shyong Chow and Ulf Grenander
The Annals of Statistics
Vol. 13, No. 3 (Sep., 1985), pp. 998-1010
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/2241121
Page Count: 13
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We suggest a sieve for the estimation of the spectral density of a Gaussian stationary stochastic process. In contrast to the standard periodogram-based estimates this one aims at exploiting the full Gaussian nature of the process.
The Annals of Statistics © 1985 Institute of Mathematical Statistics