Discrete estimators of characteristics for periodically correlated time series

被引：8

作者：

Javors'kyj, Ihor ^{[1
,2
]}

Matsko, Ivan ^{[1
]}

Yuzefovych, Roman ^{[1
]}

Zakrzewski, Zbigniew ^{[2
]}

机构：

[1] Natl Acad Sci Ukraine, Karpenko Physicomech Inst, Naukova Str 5, UA-79060 Lvov, Ukraine

[2] UTP Univ Sci & Technol, Inst Telecommun & Comp Sci, Al Prof S Kaliskiego 7, PL-85796 Bydgoszcz, Poland

来源：

DIGITAL SIGNAL PROCESSING | 2016年 / 53卷

关键词：

Periodically correlated time series; Mean; Covariance; Fourier coefficients; Discrete estimators; Aliasing; CYCLOSTATIONARITY; REPRESENTATION; COHERENT;

D O I：

10.1016/j.dsp.2016.03.003

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Results of an investigation of the characteristic estimator properties for periodically correlated time series obtained on the basis of finite data length are given. The formulae for the bias and variance of the estimators for mean and covariance function Fourier coefficients are found. The conditions for the choice of sampling interval value, for which aliasing effects do not appear, are obtained. The interpolation formulae for the mean and covariance function estimates are derived. The dependencies of the statistical characteristics of the estimators on sampling interval and sample size for modulated signals are analyzed. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：25 / 40

页数：16

共 50 条

[21] Asymptotic distribution for periodograms of infinite dimensional discrete time periodically correlated processes
Shishebor, Z.
Soltani, A. R.
Zamani, A.
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2011, 102 (07) : 1118 - 1125
[22] A computational method to compare spectral densities of independent periodically correlated time series
He, Zongda
Ma, Zhonglian
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2021, 50 (08) : 1745 - 1755
[23] Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series
Lenart, Lukasz
[J]. BERNOULLI, 2011, 17 (01) : 290 - 319
[24] Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series
A. E. Dudek
[J]. Metrika, 2015, 78 : 313 - 335
[25] A new method to compare the spectral densities of two independent periodically correlated time series
Mahmoudi, Mohammad Reza
Heydari, Mohammad Hossein
Roohi, Reza
[J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 2019, 160 : 103 - 110
[26] Investigating the ability of periodically correlated (PC) time series models to forecast the climate index
Zarei, Abdol Rassoul
Mahmoudi, Mohammad Reza
[J]. STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, 2020, 34 (01) : 121 - 137
[27] Investigating the ability of periodically correlated (PC) time series models to forecast the climate index
Abdol Rassoul Zarei
Mohammad Reza Mahmoudi
[J]. Stochastic Environmental Research and Risk Assessment, 2020, 34 : 121 - 137
[28] Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series
Dudek, A. E.
[J]. METRIKA, 2015, 78 (03) : 313 - 335
[29] Discrete periodic sampling with jitter and almost periodically correlated processes
Dehay D.
Monsan V.
[J]. Statistical Inference for Stochastic Processes, 2007, 10 (3) : 223 - 253
[30] Time-Angle Periodically Correlated Processes
Antoni, Jerome
Abboud, Dany
Baudin, Sophie
[J]. CYCLOSTATIONARITY: THEORY AND METHODS, 2014, : 3 - 14

← 1 2 3 4 5 →