Approximation of spectral density estimates by a Gaussian stochastic process

1983 ◽  
Vol 23 (1) ◽  
pp. 109-112
Author(s):  
R. Rudzkis
1986 ◽  
Vol 34 (1) ◽  
pp. 65-71
Author(s):  
Takahiko Nakazi

Let w be a nonnegative weight function in L1 = L1 (dθ/2π). Let Q and P denote the orthogonal projections to the closed linear spans in L2(wdθ/2π) of {einθ: n ≤ 0} and {einθ: n > 0}, respectively. The commutator of Q and P is studied. This has applications for prediction problems when such a weight arises as the spectral density of a discrete weakly stationary Gaussian stochastic process.


2018 ◽  
Vol 46 (6A) ◽  
pp. 3038-3066 ◽  
Author(s):  
Mengyang Gu ◽  
Xiaojing Wang ◽  
James O. Berger

2021 ◽  
Author(s):  
Lech Kipiński ◽  
Wojciech Kordecki

AbstractThe nonstationarity of EEG/MEG signals is important for understanding the functioning of human brain. From the previous research we know that even very short, i.e. 250—500ms MEG signals are variance-nonstationary. The covariance of stochastic process is mathematically associated with its spectral density, therefore we investigate how the spectrum of such nonstationary signals varies in time.We analyze the data from 148-channel MEG, that represent rest state, unattented listening and frequency-modulated tones classification. We transform short-time MEG signals to the frequency domain using the FFT algorithm and for the dominant frequencies 8—12 Hz we prepare the time series representing their trial-to-trial variability. Then, we test them for level- and trend-stationarity, unit root, heteroscedasticity and gaussianity and based on their properties we propose the ARMA-modelling for their description.The analyzed time series have the weakly stationary properties independently of the functional state of brain and localization. Only their small percentage, mostly related to the cognitive task, still presents nonstationarity. The obtained mathematical models show that the spectral density of analyzed signals depends on only 2—3 previous trials.The presented method has limitations related to FFT resolution and univariate models, but it is not computationally complicated and allows to obtain a low-complex stochastic models of the EEG/MEG spectrum variability.Although the physiological short-time MEG signals are in principle nonstationary in time domain, its power spectrum at the dominant frequencies varies as weakly stationary stochastic process. Described technique has the possible applications in prediction of the EEG/MEG spectral properties in theoretical and clinical neuroscience.


2018 ◽  
Vol 24 (2) ◽  
pp. 129-137
Author(s):  
Iryna Rozora ◽  
Mariia Lyzhechko

AbstractThe paper is devoted to the model construction for input stochastic processes of a time-invariant linear system with a real-valued square-integrable impulse response function. The processes are considered as Gaussian stochastic processes with discrete spectrum. The response on the system is supposed to be an output process. We obtain the conditions under which the constructed model approximates a Gaussian stochastic process with given accuracy and reliability in the Banach space{C([0,1])}, taking into account the response of the system. For this purpose, the methods and properties of square-Gaussian processes are used.


Author(s):  
Steven N. Evans

AbstractWe consider continuous Gaussian stochastic process indexed by a compact subset of a vector space over a local field. Under suitable conditions we obtain an asymptotic expression for the probability that such a process will exceed a high level. An important component in the proof of these results is a theorem of independent interest concerning the amount of ‘time’ which the process spends at high levels.


2019 ◽  
Vol 27 (2) ◽  
pp. 89-105 ◽  
Author(s):  
Matthias Löwe ◽  
Kristina Schubert

Abstract We discuss the limiting spectral density of real symmetric random matrices. In contrast to standard random matrix theory, the upper diagonal entries are not assumed to be independent, but we will fill them with the entries of a stochastic process. Under assumptions on this process which are satisfied, e.g., by stationary Markov chains on finite sets, by stationary Gibbs measures on finite state spaces, or by Gaussian Markov processes, we show that the limiting spectral distribution depends on the way the matrix is filled with the stochastic process. If the filling is in a certain way compatible with the symmetry condition on the matrix, the limiting law of the empirical eigenvalue distribution is the well-known semi-circle law. For other fillings we show that the semi-circle law cannot be the limiting spectral density.


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