Welch-Type Estimator for a Spectral Density Function. Case of a Continuous-Time
V. G. Alekseev, V. A. Sukhodoev
Keywords: stationary continuous-time random process, Welch-type estimator of spectral density, B-Schoenberg splines of odd degrees
Pages: 22-28
Abstract
A Welch-type estimator (an estimator obtained by averaging over the time shift) for the spectral density function of a stationary continuous-time random process is considered. The bias and variance of the statistical estimator are studied, and some recommendations concerning the choice of its parameters are formulated.
|