The aim of this article is to analyze the Fourier properties of stationary, periodic and Gaussian processes in order to characterize them. The Fourier link allows to build models with feasible computational parameter estimates. Properties of asymptotic maximum likelihood estimates are provided together with results on path regularity of such processes. As an analytic consequence, we show that the Brownian bridge cannot be a good noise model on the circle.
Is the brownian bridge a good noise model on the circle? / G. Aletti, M. Ruffini. - [s.l] : Cornell University Library, 2012 Oct 31.
Is the brownian bridge a good noise model on the circle?
G. AlettiPrimo
;
2012
Abstract
The aim of this article is to analyze the Fourier properties of stationary, periodic and Gaussian processes in order to characterize them. The Fourier link allows to build models with feasible computational parameter estimates. Properties of asymptotic maximum likelihood estimates are provided together with results on path regularity of such processes. As an analytic consequence, we show that the Brownian bridge cannot be a good noise model on the circle.
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