Celebratio Mathematica — Rosenblatt

A conversation with Murray Rosenblatt

Works connected to Keh-Shin Lii

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K. S. Lii and M. Rosenblatt: “Deconvolution and estimation of transfer function phase and coefficients for non-Gaussian linear processes,” Ann. Stat. 10 : 4 (1982), pp. 1195–1208. MR 673654 Zbl 0512.62090 article

K.-S. Lii and M. Rosenblatt: “Estimation for almost periodic processes,” Ann. Stat. 34 : 3 (2006), pp. 1115–1139. A correction to this article was published in Ann. Stat. 36:3 (2008). MR 2278353 Zbl 1113.62111 article

Processes with almost periodic covariance functions have spectral mass on lines parallel to the diagonal in the two-dimensional spectral plane. Methods have been given for estimation of spectral mass on the lines of spectral concentration if the locations of the lines are known. Here methods for estimating the intercepts of the lines of spectral concentration in the Gaussian case are given under appropriate conditions. The methods determine rates of convergence sufficiently fast as the sample size \( n\to\infty \) so that the spectral estimation on the estimated lines can then proceed effectively. This task involves bounding the maximum of an interesting class of non-Gaussian possibly nonstationary processes.