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Techniques formany stationary processes - PowerPoint PPT Presentation

The Empirical FT .

The Empirical FT. What is the large sample distribution of the EFT?. The complex normal. Theorem. Suppose p.p. N is stationary mixing, then. Proof. Write. Evaluate first and second-order cumulants Bound higher cumulants Normal is determined by its moments. Consider.

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Second order stationary p.p. dN(t) = ? exp{ i ? t} dZ N ( ? ) dt Kolmogorov

Second order stationary p.p. dN(t) = ? exp{ i ? t} dZ N ( ? ) dt Kolmogorov N(t) = Power spectrum cov{dZ N ( ? ), dZ N ( ? } = ? ( ? - ? ) f NN d ? d ? remember Z complex-valued Bivariate p.p. process {M,N} Coherency

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381 views • 30 slides

The Empirical FT .

The Empirical FT. What is the large sample distribution of the EFT?. The complex normal. Theorem. Suppose X is stationary mixing, then. Proof. Write. Evaluate first and second-order cumulants Bound higher cumulants Normal is determined by its moments. Consider. Comments .

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355 views • 29 slides

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Techniques formany stationary processes - PowerPoint PPT Presentation

The Empirical FT .

Second order stationary p.p. dN(t) = ? exp{ i ? t} dZ N ( ? ) dt Kolmogorov

The Empirical FT .