论文检索

多窗多变量谱估计的统一视角AI 解读

The orthogonal multitaper framework for cross‐spectral estimators provides a simple unifying structure for determining the corresponding statistical properties. Here cross‐spectral estimators are represented by a weighted average of orthogonally‐tapered cross‐periodograms, with the weights corresponding to a set of rescaled eigenvalues. Such a structure not only encompasses the Thomson estimators, using Slepian and sine tapers, but also Welch's weighted overlapped segment…

时间序列尺度分析中小波方差估计量的统计性质与应用AI 解读

Many physical processes are an amalgam of components operating on different scales, and scientific questions about observed data are often inherently linked to understanding the behavior at different scales. We explore time-scale properties of time series through the variance at different scales derived using wavelet methods. The great advantage of wavelet methods over ad hoc modifications of existing techniques is that wavelets provide exact scale-based decomposition…

多窗谱估计量的有效带宽AI 解读

The bandwidth of a spectral estimator is a measure of the minimum separation in frequency between approximately uncorrelated spectral estimates. We determine an effective bandwidth measure for multitaper spectral estimators, a relatively new and very powerful class of spectral estimators proving to be very valuable whenever the spectrum of interest is detailed and/ or varies rapidly with a large dynamic range. The multitaper spectral estimator is the average of several…

多窗谱估计量的有效带宽AI 解读

The bandwidth of a spectral estimator is a measure of the minimum separation in frequency between approximately uncorrelated spectral estimates. We determine an effective bandwidth measure for multitaper spectral estimators, a relatively new and very powerful class of spectral estimators proving to be very valuable whenever the spectrum of interest is detailed and/ or varies rapidly with a large dynamic range. The multitaper spectral estimator is the average of several…

Siegel 复合周期性检验统计量的渐近分位点AI 解读

Fisher's test for a periodicity at a single Fourier frequency is often inadequate in practice where it is necessary to test for compound periodicities, i.e. spectral lines at several frequencies. Siegel (1980) derived a test statistic for compound periodicity and provided percentage points for m not exceeding 50, where N = 2m + 1 is the length of the time series. Here the distribution of the test statistic is rewritten to enable computation of exact percentage points for m…

Siegel 复合周期性检验统计量的渐近分位点AI 解读

Fisher's test for a periodicity at a single Fourier frequency is often inadequate in practice where it is necessary to test for compound periodicities, i.e. spectral lines at several frequencies. Siegel (1980) derived a test statistic for compound periodicity and provided percentage points for m not exceeding 50, where N = 2m + 1 is the length of the time series. Here the distribution of the test statistic is rewritten to enable computation of exact percentage points for m…

摘要暂缺

时间序列统计带宽的估计AI 解读

In many time series and signal processing applications such as spectral estimation, signal-to-noise estimation and frequency response estimation it is imperative to have a good estimate of the bandwidth of the time series. In many scientific applications deconvolution is carried out over the signal-dominated part of the spectrum resulting in a spectrum which is dominantly unimodal, and hence a technique like that used for smoothing windows can be used to define the…

非高斯时间序列的相位滞后估计AI 解读

An important problem in the physical sciences is estimation of the innovations of a noninvertible linear process. Here the problem of deconvolving such a time series containing a phase-lead is investigated. A compensating phase-lag filter is sought, and is estimated by maximization of a chosen statistic or projection index. It is demonstrated by simulation that a statistic which is superior to another in the ideal case of a full-band time series can be substantially inferior…

非高斯时间序列的相位滞后估计AI 解读

An important problem in the physical sciences is estimation of the innovations of a noninvertible linear process. Here the problem of deconvolving such a time series containing a phase-lead is investigated. A compensating phase-lag filter is sought, and is estimated by maximization of a chosen statistic or projection index. It is demonstrated by simulation that a statistic which is superior to another in the ideal case of a full-band time series can be substantially inferior…

广义极值分布参数的极大似然估计AI 解读

Explicit expressions are provided for the information matrix of the three-parameter generalized extreme-value distribution. A condition for regular estimation is established.