Evaluation of bias in higher-order spectral estimation
Authors:
V. V. Anh, N. N. Leonenko and L. M. Sakhno
Journal:
Theor. Probability and Math. Statist. 80 (2010), 1-14
MSC (2000):
Primary 62M15, 62M30
DOI:
https://doi.org/10.1090/S0094-9000-2010-00790-3
Published electronically:
August 18, 2010
MathSciNet review:
2541947
Full-text PDF Free Access
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Additional Information
Abstract: This paper is concerned with the estimation of integral functionals of higher-order spectral densities for stationary random fields. It is shown that in some cases the problem of bias due to edge effects can be resolved by tapering.
References
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References
- V. V. Anh, N. N. Leonenko, and L. M. Sakhno, Quasilikelihood-based higher-order spectral estimation of random processes and fields with possible long-range dependence, J. Appl. Probab. 41A (2004), 35–54. MR 2057564 (2005j:62169)
- V. V. Anh, N. N. Leonenko, and L. M. Sakhno, Minimum contrast estimation of random processes based on information of second and third orders, J. Statist. Plann. Inference 137 (2007), 1302–1331. MR 2301481 (2008h:62218)
- V. V. Anh, N. N. Leonenko, and L. M. Sakhno, Statistical inference using higher-order information, J. Multivariate Anal. 98 (2007), no. 4, 706–742. MR 2322125 (2009a:62345)
- R. Bentkus, Cumulants of estimates of the spectrum of a stationary sequence, Liet. Mat. Rink. 16 (1976), 37–61. (Russian) MR 0431571 (55:4568)
- R. Bentkus and R. Rutkauskas, On the asymptotics of the first two moments of second order spectral estimators, Litovsk. Mat. Sb. 13 (1973), 29–45. (Russian) MR 0319334 (47:7878)
- R. Bentkus, R. Rutkauskas, and Ju. Sušinskas, The average of the estimates of the spectrum of a homogeneous field, Liet. Mat. Rink. 14 (1974), 67–74. (Russian) MR 0386193 (52:7051)
- D. R. Brillinger, The frequency analysis of relations between stationary spatial series, Proceedings of the Twelfth Biennial Seminar of the Canadian Mathematical Congress, Montreal, 1970, pp. 39–81. MR 0273763 (42:8640)
- D. R. Brillinger and M. Rosenblatt, Asymptotic theory of estimates of $k$-th order spectra, Spectral Anal. Time Ser. (B. Harris, ed.), Wiley, New York, 1967. MR 0211566 (35:2444)
- R. Dahlhaus, Spectral analysis with tapered data, J. Time Ser. Anal. 4 (1983), 163–175. MR 732895 (85c:62246)
- R. Dahlhaus, A functional limit theorem for tapered empirical spectral functions, Stoch. Process. Appl. 19 (1985), 135–149. MR 780726 (86i:60089)
- R. Dahlhaus and H. Künsch, Edge effects and efficient parameter estimation for stationary random fields, Biometrika 74 (1987), 877–882, 39–81. MR 919857 (89g:62146)
- M. Eichler, Empirical spectral processes and their applications to stationary point processes, Ann. Appl. Probab. 5 (1995), no. 4, 1161–1176. MR 1384370 (97k:60062)
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Additional Information
V. V. Anh
Affiliation:
School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane QLD 4001, Australia
Email:
v.anh@qut.edu.au
N. N. Leonenko
Affiliation:
School of Mathematics, Cardiff University, Senghennydd Road, Cardiff CF24 4YH, United Kingdom
Email:
LeonenkoN@Cardiff.ac.uk
L. M. Sakhno
Affiliation:
Department of Mechanics and Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, Kyiv 01033, Ukraine
Email:
lms@univ.kiev.ua
Keywords:
Spectral estimation,
bias,
higher-order spectral densities,
minimum contrast estimation
Received by editor(s):
March 12, 2009
Published electronically:
August 18, 2010
Additional Notes:
Partly supported by the Australian Research Council grant DP0559807 and the Commission of the European Communities grant PIRSES-GA-2008-230804 within the programme “Marie Curie Actions”
Article copyright:
© Copyright 2010
American Mathematical Society