SPECTRAL DENSITY ESTIMATION FROM NONLINEARLY OBSERVED DATA |
| |
| Authors: | D F Gingras E Masry |
| |
| Affiliation: | Naval Ocean Systems Center;University of California, San Diego |
| |
| Abstract: | Abstract. The estimation of the spectral density function of a stationary Gaussian process at the input of an instantaneous nonlinearity is considered when the nonlinearity is known and a finite set of observations of the output process is given. A class of spectral estimates is considered and their quadratic-mean consistency is established; precise asymptotic expressions for their bias and covariance are derived and their asymptotic normality is obtained. |
| |
| Keywords: | Spectral density estimation nonlinear functions quadratic-mean consistency convergence rates asymptotic normality |
|
