A Method for Determining Periods in Time Series

DOI10.2307/2287122MaRDI QIDQ4749051zbMATH OpenOpenAlexFDO

Authors H. Joseph Newton, Marcello Pagano

Publication date 1983

Full work available at URL https://doi.org/10.2307/2287122

zbMATH Keywords

asymptotic confidence intervalasymptotic normalityasymptotic variancesautoregressive spectral estimatorconsistencyestimating peak periodspeak periodswindow spectral density estimatorszero mean covariance stationary time series

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10)

Cited in

(4)

• SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• A LIMITING PROPERTY OF SAMPLE AUTOCOVARIANCES OF PERIODICALLY CORRELATED PROCESSES WITH APPLICATION TO PERIOD DETERMINATION
• A Review of Seasonal Adjustment Diagnostics

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