Two alternative philosophies for estimation of the parameters of time-series

Author

Gardner, William A.

Author_Institution

Dept. of Electr. Eng. & Comput. Sci., California Univ., Davis, CA, USA

Volume

37

Issue

1

fYear

1991

fDate

1/1/1991 12:00:00 AM

Firstpage

216

Lastpage

218

Abstract

Two alternative philosophical frameworks for the two problems of estimating the time-invariant or time-variant autocorrelation function and its Fourier transform for stationary and cyclostationary time-series are compared. One is based on the stochastic process model, and the other is based on the nonstochastic time-series model. It is then explained that results on estimator bias and variance for these two problems couched within the stochastic process framework have analogs within the nonstochastic framework. The bias and variance results for cyclostationary time-series that are available within these two frameworks are then summarized

Keywords

information theory; parameter estimation; time series; Fourier transform; cyclostationary time-series; estimator bias; nonstochastic time-series model; parameter estimation; philosophical frameworks; stationary time-series; stochastic process model; time-invariant autocorrelation function; time-variant autocorrelation function; variance; Autocorrelation; Computer science; Fourier transforms; Information theory; Mathematical analysis; Mathematical model; Parameter estimation; Reliability theory; Stochastic processes; Time series analysis;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.61145

Filename

61145