On estimating the hidden periodicities in linear time series models (Q1107250): Difference between revisions
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Property / author: Shu-yuan He / rank | |||
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Property / reviewed by: Jiří Anděl / rank | |||
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Property / author: Shu-yuan He / rank | |||
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Property / reviewed by: Jiří Anděl / rank | |||
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Property / cites work: Q3247497 / rank | |||
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Property / cites work: Non-linear time series regression / rank | |||
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Property / cites work: On Consistent Estimates of the Spectrum of a Stationary Time Series / rank | |||
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Latest revision as of 18:33, 18 June 2024
scientific article
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English | On estimating the hidden periodicities in linear time series models |
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On estimating the hidden periodicities in linear time series models (English)
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1987
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The author investigates the model \[ X(n)=\sum^{p}_{j=1}\alpha_ je^{in \lambda_ j}+\xi_ n \] where p, \(\lambda_ 1,...,\lambda_ p\) are constants, \(\alpha =(\alpha_ 1,...,\alpha_ p)'\) is a random vector and \(\xi_ n\) is a stationary random sequence with spectral density f(\(\lambda)\). An estimator \(\hat p\) of the parameter p is (roughly speaking) based on the number of peaks of the periodogram which are sufficiently high and sufficiently narrow. It is proved that \(\hat p\) is strongly consistent and that the corresponding estimators for \(\lambda_ i\) and \(\alpha\) are also strongly consistent. The method is demonstrated on two numerical examples.
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linear time series models
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hidden periodicities
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consistent estimators
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asymptotic normality
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stationary random sequence
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spectral density
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periodogram
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strongly consistent
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