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Teoriya Veroyatnostei i ee Primeneniya, 1982, Volume 27, Issue 4, Pages 739–756 (Mi tvp2420)  

This article is cited in 12 scientific papers (total in 12 papers)

On the distributions of some statistical estimates of spectral density

R. Yu. Bentkus, R. A. Rudzkisa

a Vilnius
Abstract: Let $X_t$, $t=\dots,-1,0,1,\dots$, be a real Gaussian stationary time series with zero mean and spectral density $f(\lambda)$, $-\pi\le\lambda\le\pi$. In the paper the distribution of estimates (0.1) is considered, where $J_N(x)$ is the periodogram and $W\in L_1(-\pi,\pi)$. The asymptotic expansions of the distribution function and density of r. v. (0.5) are given and the theorem on large deviations is proved. Comparatively exact inequalities for the probabilities
$$ \mathbf P\{|\widehat f(\lambda)-\mathbf E\widehat f(\lambda)|\ge x\},\qquad \mathbf P\{\|\widehat f-\mathbf E\widehat f\|_2\ge x\},\qquad \mathbf P\{\|\widehat f-\mathbf E\widehat f\|_\infty\ge x\} $$
are derived. It is proved also that for some of the estimates (0.1) the inequalities (3.2)–(3.4) hold for all $a>0$.
Received: 26.03.1980
English version:
Theory of Probability and its Applications, 1983, Volume 27, Issue 4, Pages 795–814
DOI: https://doi.org/10.1137/1127088
Bibliographic databases:
Language: Russian
Citation: R. Yu. Bentkus, R. A. Rudzkis, “On the distributions of some statistical estimates of spectral density”, Teor. Veroyatnost. i Primenen., 27:4 (1982), 739–756; Theory Probab. Appl., 27:4 (1983), 795–814
Citation in format AMSBIB
\Bibitem{BenRud82}
\by R.~Yu.~Bentkus, R.~A.~Rudzkis
\paper On the distributions of some statistical estimates of spectral density
\jour Teor. Veroyatnost. i Primenen.
\yr 1982
\vol 27
\issue 4
\pages 739--756
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\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=681465}
\zmath{https://zbmath.org/?q=an:0518.62074|0507.62077}
\transl
\jour Theory Probab. Appl.
\yr 1983
\vol 27
\issue 4
\pages 795--814
\crossref{https://doi.org/10.1137/1127088}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1983RU72200009}
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  • https://www.mathnet.ru/eng/tvp/v27/i4/p739
  • This publication is cited in the following 12 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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