A Few Remarks on Robust Estimation of Power Spectra

  • Georgy Shevlyakov St. Petersburg State Polytechnic University
  • Nickolay Lyubomishchenko St. Petersburg State Polytechnic University
  • Pavel Smirnov St. Petersburg State Polytechnic University

Abstract

Various robust versions of the classical methods of power spectra estimation are considered.
Their performance evaluation is studied in autoregressive models with contamination.
It is found out that the best robust estimates of power spectra are based on robust
highly efficient estimates of autocovariances. Several open problems for future research
are formulated.

Published
2014-06-13
How to Cite
Shevlyakov, G., Lyubomishchenko, N., & Smirnov, P. (2014). A Few Remarks on Robust Estimation of Power Spectra. Austrian Journal of Statistics, 43(4), 237-245. https://doi.org/10.17713/ajs.v43i4.42
Section
Articles