Bartlett-type formulas for complex multivariate time series of mixed spectra

Statistics and Probability Letters

Volumn 28, Issue 3, 1996, Pages 259-268

  Li, Ta Hsin ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Autocorrelation; Covariance function; Estimation; Normality

Indexed keywords

EID: 0030191279     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00133-6     Document Type: Article

References (9)

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4. Jacovitti, G. and R. Cusani (1992), Performance of normalized correlation estimators for complex processes, IEEE Trans. Signal Process. 40, 114-128.
5. Kay, S.M. (1993), Fundamentals of Statistical Signal Processing: Estimation Theory (Prentice-Hall, Englewood Cliffs, NJ).
6. Li, T.H. (1996), Discrimination of time series by parametric filtering, J. Amer. Statist. Assoc. 91, 284-293.
7. Li, T.H. and B. Kedem (1993), Strong consistency of the contraction mapping method for frequency estimation, IEEE Trans. Inform. Theory 39, 989-998.
8. Li, T.H., B. Kedem and S. Yakowitz (1994), Asymptotic normality of sample autocovariances with an application in frequency estimation, Stochastic Processes Appl. 52, 329-349.
9. Miller, K.S. (1974), Complex Stochastic Processes - An Introduction to Theory and Application (Addison-Wesley, Reading, MA).