On the Nonparametric Approaches to Applied Spectral Analysis
V. G. Alekseev
Obukhov Institute of Aerophysics of the Russian Academy of Sciences,Zvenigorod, Moscow oblast, Russia
Pages: 43-49
Abstract
The nonparametric approaches to applied spectral analysis of generally stationary discrete-time stochastic processes are reviewed. The classical periodogram estimator of spectral density f(w) of the analyzed stochastic process and the Welch-type estimator are considered in detail. Practical advice on choosing the parameters of both the statistical estimators is presented.
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