Asymptotic Distribution of Spectral Density Estimate of Continuous Time Series on Crossed – Intervals. | ||||
| The Egyptian Statistical Journal | ||||
| Article 5, Volume 42, Issue 2, December 1998, Page 197-214 PDF (9.76 MB) | ||||
| Document Type: Original Article | ||||
| DOI: 10.21608/esju.1998.314575 | ||||
 View on SCiNiTO | ||||
| Authors | ||||
| M. A. Ghazal* ; E. A. Farag | ||||
| Abstract | ||||
| Let to be a zero mean, vector-valued, continuous-time strictly stationary process with spectral density function , . The problem of asymptotic distribution of estimate of on crossed intervals based on the values of are considered where the periodograms are calculated, using data window. The first, second-order moments and cumulant of are derived. Further, some results in this area are presented. Also, the asymptotic distribution of on crossed intervals is derived. Our purpose, is to indicate the appearance of the Wishart distribution as an exact limiting distribution of . | ||||
| Keywords | ||||
| Spectral Estimate of Continuous-Time Processes; Data Window; Finite Fourier Transform; Periodograms; Asymptotic Normality; Wishart Distribution | ||||
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