A consistent estimator for spectral density matrix of a discrete time periodically correlated process

  1. Majid Azimmohseni
  2. Ahmad Reza Soltani
  3. Mahnaz Khalafi
  4. Naeemeh Akbari Ghalesary

Abstract

 

In this article, we introduce a weighted periodogram in the class of smoothed periodograms as a consistent estimator for the spectral density matrix of a periodically correlated process. We derive its limiting distribution that appears to be a certain finite linear combination of Wishart distribution. We also provide numerical derivations for our smoothed periodogram and exhibit its asymptotic consistency using simulated data.

 

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Probability and Mathematical Statistics

38, z. 1, 2018

Pages from 225 to 242

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