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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1997 Volume 42, Issue 4, Pages 657–667 (Mi tvp2178)

This article is cited in 4 papers

New modifications of second- and third-order periodograms

V. G. Alekseev

A. M. Obukhov Institute of Atmospheric Physics, Russian Academy of Sciences

Abstract: New modifications of the second- and third-order periodograms are described which serve as “half-finished products” in constructing statistical estimators for the spectral and bispectral densities, respectively, of a strictly stationary stochastic process $\{X(k), k\in \mathbb Z\}$. A distinguishing feature of both modified periodograms is essentially the smaller value of their variances in comparison to those for previously know modifications.

Keywords: stationary stochastic process, spectral density, second-order periodogram, bispectral density, third-order periodogram, Jackson's type kernels.

Received: 20.05.1997

DOI: 10.4213/tvp2178


 English version:
Theory of Probability and its Applications, 1998, 42:4, 559–567

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