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math.ST2023
On Second-Order Statistics of the Log-Average Periodogram for Gaussian Processes
Karolina Klockmann, Tatyana Krivobokova
We present an approximate expression for the covariance of the log-average periodogram for a zero mean stationary Gaussian process. Our findings extend the work of [1] on the covar…
math.ST2023
Efficient nonparametric estimation of Toeplitz covariance matrices
Karolina Klockmann, Tatyana Krivobokova
A new nonparametric estimator for Toeplitz covariance matrices is proposed. This estimator is based on a data transformation that translates the problem of Toeplitz covariance matr…