A Few Remarks on Robust Estimation of Power Spectra
DOI:
https://doi.org/10.17713/ajs.v43i4.42Abstract
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.
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