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Spectral density estimation for stationary stable processes

Author

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  • Masry, Elias
  • Cambanis, Stamatis

Abstract

Weakly and strongly consistent nonparametric estimates, along with rates of convergence, are established for the spectral density of certain stationary stable processes. This spectral density plays a role, in linear inference problems, analogous to that played by the usual power spectral density of second order stationary processes.

Suggested Citation

  • Masry, Elias & Cambanis, Stamatis, 1984. "Spectral density estimation for stationary stable processes," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 1-31, September.
    • Handle: RePEc:eee:spapps:v:18:y:1984:i:1:p:1-31
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    Cited by:

    1. Hsing, Tailen, 1995. "Limit theorems for stable processes with application to spectral density estimation," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 39-71, May.

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