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Paper   IPM / M / 7261
School of Mathematics
  Title:   Estimating stationary components of spectrums of discrete time
1.  A. R. Soltani
2.  M. Khalafi
  Status:   Published
  Journal: Int. Math. J.
  No.:  9
  Vol.:  3
  Year:  2003
  Pages:   967-987
  Supported by:  IPM
A discrete time evolutionary second order process Xt is considered. Modulating functions that are the Fourier transform of certain lattice distributions together with segments of a stationary sequences are employed to form a process ~Xt. It is proved that ~XtXt in mean square, under sufficient conditions. A formula in terms of the discrete Fourier transform of a finite segment of the process, lattice weights and the discrete Fourier transform of the stationary segment is derived to estimate the stationary component of the spectral density. Certain evolutionary ARMA processes are introduced that can be used for the simulation.

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