Asymptotic statistical properties of spectral estimates with different tapers for discrete time processes.

DOI10.1016/S0096-3003(03)00299-6MaRDI QIDQ1428587zbMATH OpenOpenAlexFDO

Authors A. A. M. Teamah, Hassan S. Bakouch

Publication date 29 March 2004

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0096-3003(03)00299-6

zbMATH Keywords

Data tapersDiscrete time stationary processesFinite Fourier transformOverlapped and non-overlapped intervalsSpectral estimatesSpectral smoothing

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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• SPECTRAL ANALYSIS WITH TAPERED DATA
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Cites work

• scientific article; zbMATH DE number 5617405 (Why is no real title available?)
• scientific article; zbMATH DE number 6539297 (Why is no real title available?)
• scientific article; zbMATH DE number 2149462 (Why is no real title available?)
• scientific article; zbMATH DE number 3253529 (Why is no real title available?)
• Asymptotic properties of spectral estimates of second order
• Estimating the spectral density, autocovariance function and spectral measure of continuous-time stationary processes
• Introduction to spectral analysis
• On a spectral density estimate obtained by averaging periodograms

Cited in

(7)

• scientific article; zbMATH DE number 2149462 (Why is no real title available?)
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Prolate spheroidal spectral estimates
• On nonparametric estimates for the derivatives of the spectral density for a discrete-time stationary stochastic process
• Some asymptotic properties of a kernel spectrum estimate with different multitapers
• A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))
• The comparative analysis of some periodogram's estimates of spectral density

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