Preliminary Estimation in Gaussian Stationary Processes

Abstract

Preliminary estimation of the kth Lag autocorrelation function in the Gaussian stationary processes is considered. An estimation procedure is derived from the ratio of the sum filter and the difference filter. The performance of this estimator is compared to the sample estimator through a Monte Carlo study.

Keywords:

• Autocorrelation function
• Range estimator
• Stationary processes

Mathematics Subject Classification:

• Primary 62M10
• Secondary 62B05

Acknowledgment

The support from the American University of Beirut Research Board is gratefully acknowledged.