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Estimated factorisation of the spectral density of a stationary point process
Published online by Cambridge University Press: 01 July 2016
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.
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- Copyright © Applied Probability Trust 1975
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