| 漏缺数据平稳时间序列下的谱密度估计 |
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| 引用本文： | 黄健,张明善,沙立文.漏缺数据平稳时间序列下的谱密度估计[J].西南民族学院学报(自然科学版),2006,32(1):1-7. |
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| 作者姓名： | 黄健 张明善 沙立文 |
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| 作者单位： | 爱尔兰科克大学 爱尔兰(黄健，沙立文)，西南民族大学教务处 四川成都610041(张明善) |
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| 摘 要： | 在天文学和医学领域,非均匀抽样数据的谱什计已获得广泛研究.这些研究通常是在周期性的探测和决定性的信号环境里进行的.本文从另外的角度考虑估计漏缺数据平稳时间序列的谱密度,提出了一种渐近无偏的估计方法.使用模拟方法把它与古典周期图、LOMB周期图以及基于SVD的周期图进行对比,结果显示这种新方法很大程度上降低了偏差.
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| 关 键 词： | 平稳时间序列 单值分解 光谱密度 Lomb周期图/模型 |
| 文章编号： | 1003-2843（2006）01-0001-07 |
| 收稿时间： | 2005-10-20 |
| 修稿时间： | 2005年10月20 |
The spectral density estimation of stationary time series with missing data |
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| HUANG Jian,ZHANG Ming-shan,O'' SULLIVAN Finbarr.The spectral density estimation of stationary time series with missing data[J].Journal of Southwest Nationalities College(Natural Science Edition),2006,32(1):1-7. |
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| Authors: | HUANG Jian ZHANG Ming-shan O' SULLIVAN Finbarr |
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| Institution: | 1. Department of Statistics, University of Cork, Ireland; 2. Teaching Affairs Office, Southwest University for Nationalities, Chengdu 610041 ,P. R. C. |
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| Abstract: | The spectral estimation of unevenly sampled data has been widely investigated in astronomical and medical areas.However,the investigations are usually carried out in the context of periodicity detection and deterministic signal.Here we consider estimating the spectral density of stationary time series with missing data.An asymptotically unbiased estimation approach is proposed.The simulations are used to compare it to the classical periodogram, the Lomb periodogram(widely used for irregularly sampled data) and the SVD based periodogram.The results show that the new method substantially reducs the bias and slightly increases the variance.Overall,the new approach significantly reduces the mean squared percentage error.As an example,the approach is applied to rainfall data in Ireland. |
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| Keywords: | stationary time series singular value decomposition spectral density the Lomb periodogram |
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