Unformatted text preview: e ck and d. d
11 Nonparametric spectral estimation: asymptotics
^ Suppose that f (k ) ck 2 . What values should ck and d take? We have, d for a suitable spectral window Wn , ^ f (k ) Ef (k ) = ck d, f 2 (k )
|j|Ln 2 ^ Wn (j) Varf (k ) = 2c2 d. k Thus, we get f (k ) , d 2ck = f (k ) ck =
|j|Ln 2 Wn (j), d= 2
|j|Ln 12 2 Wn (j) . Nonparametric spectral estimation: asymptotics
ck = d= f (k ) , d 2
2 |j|Ln Wn (j) . This d is often referred to as the equivalent degrees of freedom for a smoothed spectrum. Und...
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This note was uploaded on 05/14/2011 for the course STAT 153 taught by Professor Staff during the Fall '08 term at Berkeley.
- Fall '08