Spectral moment estimation by means of level crossings
Lindgren, Georg LU
(1974)
In Biometrika
61(3).
p.401-418
- Abstract
- Three types of estimator of the second spectral moment of a stationary Gaussian process are considered. The integral estimator is based on the integral of the squared derivative of the process, while crossing estimators make use of the number of upcrossings of zero or nonzero levels. It is shown that the zero-crossing estimator can often compete with the integral estimator in efficiency and that it can be considerably improved by the additional use of nonzero levels.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1273142
- author
- Lindgren, Georg
LU
- organization
- publishing date
- 1974
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Zero-crossings, Time-series estimation, Stationary normal processes, Spectral moments, Level crossings
- in
- Biometrika
- volume
- 61
- issue
- 3
- pages
- 401 - 418
- publisher
- Oxford University Press
- external identifiers
-
- scopus:0016311650
- ISSN
- 0006-3444
- language
- English
- LU publication?
- yes
- id
- 85b49993-52b6-4451-8a0e-0edf50f0c895 (old id 1273142)
- alternative location
- http://www.jstor.org/stable/2334721
- date added to LUP
- 2016-04-01 15:52:15
- date last changed
- 2021-03-28 05:25:36
@article{85b49993-52b6-4451-8a0e-0edf50f0c895,
abstract = {{Three types of estimator of the second spectral moment of a stationary Gaussian process are considered. The integral estimator is based on the integral of the squared derivative of the process, while crossing estimators make use of the number of upcrossings of zero or nonzero levels. It is shown that the zero-crossing estimator can often compete with the integral estimator in efficiency and that it can be considerably improved by the additional use of nonzero levels.}},
author = {{Lindgren, Georg}},
issn = {{0006-3444}},
keywords = {{Zero-crossings; Time-series estimation; Stationary normal processes; Spectral moments; Level crossings}},
language = {{eng}},
number = {{3}},
pages = {{401--418}},
publisher = {{Oxford University Press}},
series = {{Biometrika}},
title = {{Spectral moment estimation by means of level crossings}},
url = {{http://www.jstor.org/stable/2334721}},
volume = {{61}},
year = {{1974}},
}