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314575

Asymptotic Distribution of Spectral Density Estimate of Continuous Time Series on Crossed – Intervals.

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Last updated: 11 May 2025

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Abstract

Let    to be a zero mean,  vector-valued, continuous-time strictly stationary process with spectral density function , . The problem of asymptotic distribution of estimate  of  on crossed intervals based on the values of    are considered where the periodograms are calculated, using data window. The first, second-order moments and cumulant of  are derived. Further, some results in this area are presented. Also, the asymptotic distribution of    on crossed intervals is derived. Our purpose, is to indicate the appearance of the Wishart distribution as an exact limiting distribution of .

DOI

10.21608/esju.1998.314575

Keywords

Spectral Estimate of Continuous-Time Processes, Data Window, Finite Fourier Transform, Periodograms, asymptotic normality, Wishart Distribution

Authors

First Name

M.

Last Name

Ghazal

MiddleName

A.

Affiliation

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City

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Orcid

-

First Name

E.

Last Name

Farag

MiddleName

A.

Affiliation

-

Email

-

City

-

Orcid

-

Volume

42

Article Issue

2

Related Issue

43142

Issue Date

1998-12-01

Publish Date

1998-12-01

Page Start

197

Page End

214

Print ISSN

0542-1748

Online ISSN

2786-0086

Article File

ESJU_Volume 42_Issue 2_Pages 197-214.pdf

PDF . 10.2MB

Link

https://esju.journals.ekb.eg/article_314575.html

Detail API

http://journals.ekb.eg?_action=service&article_code=314575

Order

5

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

Asymptotic Distribution of Spectral Density Estimate of Continuous Time Series on Crossed – Intervals.

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Article

Created At

28 Dec 2024