Spectral Density Estimate for Stable Processes Observed with an Additive Error

Rachid Sabre (1)

1 Le2i - Laboratoire Electronique, Informatique et Image [UMR6306]

In this paper, a symmetric alpha stable process where its spectral representation has an additive error is considered. The error is supposed to be constant. A periodogram as estimator of the spectral density and its rate of convergence are given. In order to give an asymptotically unbiased and consistent estimate of the spectral density, this periodogram is smoothed by an adapted spectral window. The rate of convergence is given.

Mots clés: Spectral Density; Periodogram; Stable Processes

Domaines: Mathématiques [math]; Théorie spectrale [math.SP]; Statistiques [math.ST]; Statistiques [stat]; Sciences de l'ingénieur [physics]

Rachid Sabre. Spectral Density Estimate for Stable Processes Observed with an Additive Error. Advanced Science Letters, 2018, 24, pp.8019-8022. ⟨10.1166/asl.2018.12481⟩. ⟨hal-01916550⟩