The use of wavelets for spectral density estimation with local bandwidth adaptation

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We consider the problem of estimating the spectral density of a discrete-time, wide-sense stationary, real, Gaussian random process from a set of 2N observations. Consistent estimates may be obtained by suitable processing of the empirical spectral density estimates (periodogram). Wavelet techniques can be used for combining information about the spectral density at different resolutions. We present an estimation technique based on the following two paradigms: large-sample model for the data; and inference on the wavelet coefficients of the log spectral density.

Original languageEnglish (US)
Title of host publicationProceedings - 1994 IEEE International Symposium on Information Theory, ISIT 1994
Number of pages1
DOIs
StatePublished - Dec 1 1994
Externally publishedYes
Event1994 IEEE International Symposium on Information Theory, ISIT 1994 - Trondheim, Norway
Duration: Jun 27 1994Jul 1 1994

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095

Other

Other1994 IEEE International Symposium on Information Theory, ISIT 1994
CountryNorway
CityTrondheim
Period6/27/947/1/94

ASJC Scopus subject areas

  • Applied Mathematics
  • Modeling and Simulation
  • Theoretical Computer Science
  • Information Systems

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