A mean squared error criterion for time series data windows

DOI10.1093/BIOMET/75.3.485MaRDI QIDQ3796593zbMATH OpenOpenAlexFDO

Authors Clifford Hurvich

Publication date 1988

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/75.3.485

zbMATH Keywords

autoregressive processesestimating the optimal degree of taperingMonte Carloperiodogram mean integrated squared error criteriontime series data windowsTukey's cosine window

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(3)

• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Spectral methods for small sample time series: A complete periodogram approach
• A data-driven test to compare two or multiple time series

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