A Study of Autoregressive and Window Spectral Estimation

DOI10.2307/2346656MaRDI QIDQ3899358zbMATH OpenOpenAlexFDO

Authors N. Beamish, M. B. Priestley

Publication date 1981

Published in Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2346656

zbMATH Keywords

autoregressive modelsestimationorder determination criteriaspectral windows

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cited in

(8)

• An improved estimation method for univariate autoregressive models
• Estimation of periodicities in hydrologic data
• AR and ARMA spectral estimation
• Automatic identification of ARMA systems
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
• LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION
• The estimation of the order of an ARMA process using third-order statistics

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