Asymptotic normality and efficiency of a weighted correlogram

• Date: 1998
• Main Authors: Maiboroda, R. E., Майборода, Р. Е.
• Format: Article
• Language: Russian; English
• Published: Institute of Mathematics, NAS of Ukraine 1998
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/4874
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

For a process X(t)=Σ j=1 M g j (t)ξ j (), where gj(t) are nonrandom given functions, \((\xi _j (t),j = \overline {1,M} )\) is a stationary vector-valued Gaussian process, Eξk(t) = 0, and Eξk(0) Eξl(τ) = r kl(τ), we construct an estimate \(\hat r_{kl} (\tau ,T)\) for the functions r kl(τ...