Estimation of Additive Error in Mixed Spectra for Stable Processes

Rachid Sabre (1)

1 Le2i - Laboratoire d'Electronique, d'Informatique et d'Image [EA 7508]

Consider a symmetric alpha stable process having a spectral representation with an additive constant error. An estimator of that error and its rate of convergence are given. We study the rate of convergence when the spectral density have some behaviors at origin. Few long memory processes are taken here as example.

Mots clés: Spectral density; Jackson kernel; Stable processes

Domaines: Mathématiques [math]; Statistiques [math.ST]

Rachid Sabre. Estimation of Additive Error in Mixed Spectra for Stable Processes. STATISTICA, 2017, 77 (2), pp.75-90. ⟨10.6092/issn.1973-2201/7300⟩. ⟨hal-01860261⟩