Summary
We consider time series which are realizations of a stochastic process. From the time series we construct various estimates of the spectral distribution function of the process (Section 3) and we study the sampling distributions of some functionals of these estimates (Sections 4-7). We then obtain confidence regions for the spectral distribution function and various tests of hypotheses in the normal case (Sections 8-10).
Received 10/22/52.
This work has been carried out with support of the Office of Naval Research.
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Davis, R.A., Lii, KS., Politis, D.N. (2011). Statistical Spectral Analysis of Time Series Arising From Stationary Stochastic Processes. In: Davis, R., Lii, KS., Politis, D. (eds) Selected Works of Murray Rosenblatt. Selected Works in Probability and Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-8339-8_9
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