Best lag window for spectrum estimation of law order MA process

DOI10.1155/2020/9352453MaRDI QIDQ2198070zbMATH OpenOpenAlexFDO

Authors A. S. Rashid, Mohammed Jabber Hawas Allami, Ahmed Kareem Mutasher

Publication date 8 September 2020

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/9352453

Mathematics Subject Classification ID

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

Review text

Summary: In this article, we investigate spectrum estimation of law order moving average (MA) process. The main tool is the lag window which is one of the important components of the consistent form to estimate spectral density function (SDF). We show, based on a computer simulation, that the Blackman window is the best lag window to estimate the SDF of \(\text{MA}\left( 1\right)\) and \(\text{MA}\left( 2\right)\) at the most values of parameters \(\beta_i\) and series sizes \(n\), except for a special case when \(\beta=-1\) and \(n\geq40\) in \(\text{MA}\left( 1\right)\). In addition, the Hanning-Poisson window appears as the best to estimate the SDF of \(\text{MA}\left( 2\right)\) when \(\beta_1= \beta_2=-0.5\) and \(n\geq40\).

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Cited in

(1)

• Improving the lag window estimators of the spectrum and memory for long-memory stationary Gaussian processes

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