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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:
author
organization
publishing date
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
Biometrika Trust
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
2009-06-03 16:56:07
date last changed
2017-05-07 04:12:58
@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},
  keyword      = {Zero-crossings,Time-series estimation,Stationary normal processes,Spectral moments,Level crossings},
  language     = {eng},
  number       = {3},
  pages        = {401--418},
  publisher    = {Biometrika Trust},
  series       = {Biometrika},
  title        = {Spectral moment estimation by means of level crossings},
  volume       = {61},
  year         = {1974},
}