Technion, Statistics Seminar
Speaker: Noemie Balouka, Technion
Title: Simultaneous confidence bands for a multivariate spectral
Date: February 17, 2013
Time and place: 14:30 in Bloomfield-527
For an abstract please see the website of the Statistics Seminar:
Or read it here:
We propose a method for constructing simultaneous confidence bands
for a multivariate spectral density of a stationary process. The
construction of these bands is pivoted on a nonparametric spectral
estimator, a smoothed version of the periodogram. We show that this
problem may be reduced to finding the probability that the maxima of
a certain non- Gaussian random field exceeds a given threshold. We
adapt earlier results in the literature about tail probabilities of
maxima of random fields to the problem in hand, and present a
general result about the distribution of the maxima of the
standardized nonparametric spectral estimator. We then show how this
result may be used to construct the required confidence bands.
Finally, we present several simulation results
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