论文检索

周期图平滑窗口选择的简便广义交叉验证方法AI 解读

A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the periodograms across frequency. An important component of smoothing is the choice of the span. Lee (1997) proposed a span selector that was erroneously claimed to be unbiased for the mean squared error. The naive use of mean squared error has some important drawbacks in this context because the variance of the periodogram depends on its mean, i.e. the spectrum. We…

小波过程与演化小波谱的自适应估计AI 解读

Summary This paper defines and studies a new class of non-stationary random processes constructed from discrete non-decimated wavelets which generalizes the Cramér (Fourier) representation of stationary time series. We define an evolutionary wavelet spectrum (EWS) which quantifies how process power varies locally over time and scale. We show how the EWS may be rigorously estimated by a smoothed wavelet periodogram and how both these quantities may be inverted to provide an…