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Estimated factorisation of the spectral density of a stationary point process

Published online by Cambridge University Press:  01 July 2016

John Rice
John Rice*
Affiliation:
University of California, San Diego
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Abstract

A statistical method for estimating the factorisation of the spectral density of a stationary point process is presented and asymptotic properties of the resulting estimates are derived. The estimated functions are of interest in the analysis of a self-exciting process and more generally in the problem of linear prediction, and can be viewed as an alternative second-order analysis of the process. Some examples are discussed.

Keywords

POINT PROCESSSPECTRAL ANALYSISFACTORISATION

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 7 , Issue 4 , December 1975 , pp. 801 - 817
Copyright
Copyright © Applied Probability Trust 1975 

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