ESTIMATION OF MARGINAL AND SPECTRAL MODES
Authors:
Bernard Bercu a;
Fabrice Gamboa b;
Marc Lavielle a
| Affiliations: | a Laboratoire de Math matiques, UMR 8628 CNRS, B timent 425, Universit de Paris-Sud, 91 405 Orsay Cedex, France. |
b Laboratoire de Statistiques et de Probabilit s, UMR 5583 CNRS, Universit Paul Sabatier, 118 Route de Narbonne, 31062 Toulouse cedex 4, France. |
DOI:
10.1080/10485250213108
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Number of References: 19
Formats available:
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Abstract
We investigate the asymptotic behaviour of the empirical mode of an i.i.d. sample. We also study the asymptotic properties of the empirical spectral mode of a sample generated by a Gaussian stationary process. The empirical estimators are built using the empirical histogram or the empirical spectrogram, respectively. Under various regularity assumptions, including the case of a singular mode, we compute the optimal window width and study the rate of convergence of our estimates.
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| Keywords: Histogram; Spectrogram; Mode Estimation |
| view references (19) |

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matiques, UMR 8628 CNRS, B
timent 425, Universit
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