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Asymptotic equivalence of spectral density estimation and gaussian white noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence
2010/3/18
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary
Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence,
in the sense of Le Cam...
We propose two estimators of a monotone spectral density, that
are based on the periodogram. These are the isotonic regression of
the periodogram and the isotonic regression of the log-periodogram.
...