The spectral structure of tes processes

1 January 1994

journal article
research article
Published by Taylor & Francis in Communications in Statistics. Stochastic Models

Vol. 10 (3) , 599-618
https://doi.org/10.1080/15326349408807312

Abstract

TES (Transform-Expand-Sample) is a versatile class of stochastic sequences consisting of marginally uniform autoregressive schemes with modulo-1 reduction, followed by various transformations. TES modeling aims to fit a TES model to empirical records by simultaneously capturing both first-order and second-order properties of the empirical data In this paper we study the spectral properties of general TES processes and their component innovation sequences, thus generalizing the results reported in Jagerman and Melamed [9]. We derive formulas for the power spectral density function and the spectral distribution function which are suitable for efficient numerical computation, and exemplify them for TES processes with uniform and exponential marginals. The results contribute to the understanding of TES sequences as models of autocorrelated sequences, particularly in a Monte Carlo simulation context

Keywords

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