SPECTRAL-ANALYSIS OF NONSTATIONARY TIME-SERIES

被引：27

作者：

ZURBENKO, IG

机构：

来源：

INTERNATIONAL STATISTICAL REVIEW | 1991年 / 59卷 / 02期

关键词：

COVARIANCE FUNCTION; DYNAMIC SPECTRA; MODIFIED PERIODOGRAM; SPECTRAL DENSITY; STATIONARY PROCESS IN A WIDE SENSE; WIENER PROCESS;

D O I：

10.2307/1403441

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The general model of a stationary process with dynamical spectra is introduced. Statistical examination of its spectral density is developed. The model of a Gaussian stationary process with Wiener stationary diffusion of sample trajectories is investigated, as well as the Poisson model. Higher order spectra are also examined.

引用

页码：163 / 173

页数：11