A Few Remarks on Robust Estimation of Power Spectra

Various robust versions of the classical methods of power spectra estimation are considered. Their performance evaluation is studied in autoregressive models with contamination. It is found out that the best robust estimates of power spectra are based on robust highly efficient estimates of autocov...

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Main Authors:	Georgy Shevlyakov, Nickolay Lyubomishchenko, Pavel Smirnov
Format:	Article
Language:	English
Published:	Austrian Statistical Society 2014-06-01
Series:	Austrian Journal of Statistics
Online Access:	http://www.ajs.or.at/index.php/ajs/article/view/42

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spelling	doaj-ca5ceac3626f40498df40a340d4e8c972021-04-22T12:35:12ZengAustrian Statistical SocietyAustrian Journal of Statistics1026-597X2014-06-0143410.17713/ajs.v43i4.4219A Few Remarks on Robust Estimation of Power SpectraGeorgy Shevlyakov0Nickolay Lyubomishchenko1Pavel Smirnov2St. Petersburg State Polytechnic UniversitySt. Petersburg State Polytechnic UniversitySt. Petersburg State Polytechnic University Various robust versions of the classical methods of power spectra estimation are considered. Their performance evaluation is studied in autoregressive models with contamination. It is found out that the best robust estimates of power spectra are based on robust highly efficient estimates of autocovariances. Several open problems for future research are formulated. http://www.ajs.or.at/index.php/ajs/article/view/42
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Georgy Shevlyakov Nickolay Lyubomishchenko Pavel Smirnov
spellingShingle	Georgy Shevlyakov Nickolay Lyubomishchenko Pavel Smirnov A Few Remarks on Robust Estimation of Power Spectra Austrian Journal of Statistics
author_facet	Georgy Shevlyakov Nickolay Lyubomishchenko Pavel Smirnov
author_sort	Georgy Shevlyakov
title	A Few Remarks on Robust Estimation of Power Spectra
title_short	A Few Remarks on Robust Estimation of Power Spectra
title_full	A Few Remarks on Robust Estimation of Power Spectra
title_fullStr	A Few Remarks on Robust Estimation of Power Spectra
title_full_unstemmed	A Few Remarks on Robust Estimation of Power Spectra
title_sort	few remarks on robust estimation of power spectra
publisher	Austrian Statistical Society
series	Austrian Journal of Statistics
issn	1026-597X
publishDate	2014-06-01
description	Various robust versions of the classical methods of power spectra estimation are considered. Their performance evaluation is studied in autoregressive models with contamination. It is found out that the best robust estimates of power spectra are based on robust highly efficient estimates of autocovariances. Several open problems for future research are formulated.
url	http://www.ajs.or.at/index.php/ajs/article/view/42
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A Few Remarks on Robust Estimation of Power Spectra

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