On Estimation of Convergence Rate of Statistics Expectancy LN to Linear Functional of Spectral Density L(f) of Stationary Gaussian Process

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For the real-valued stationary Gaussian centered process X(t),t = 0,±1,±2…, with a spectral density f(λ), a problem is considered of estimating the convergence rate of expectancy of statistics LN = ∫ φ(λ)IN(λ)dλ,λ ∈ [−π;π], where IN(λ) is a periodogram of a process X(t), t = 0,±1,±2…, to a linear functional of the spectral density L(f) = ∫ φ(λ)f(λ)dλ of the stationary Gaussian process based on the sample {X(1), X(2),…,X(N)}.

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A Yu Shomakhov

Plekhanov Russian University of Economics

Plekhanov Russian University of Economics


Copyright (c) 2012 Шомахов А.Ю.

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