scientific article; zbMATH DE number 3852259

MaRDI QIDQ3321285zbMATH OpenFDO

Authors Emanuel Parzen

Publication date 1983

zbMATH Keywords

autoregressive spectral estimationCATempirical spectral analysisentropy interpretationsgeneralized AICinfinite orderleast-squares proceduresmoving- averageorder determinationoverviewparametrizationspartial correlationsresidual variancesshort memory time seriesYule- Walker equations

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

(32)

• Empirical spectral processes and their applications to time series analysis
• An improved estimation method for univariate autoregressive models
• Autoregressive state-space approach for numerical signal analysis
• Optimal estimation of power spectral density by means of a time-varying autoregressive ap\-proach.
• Autoregression and cepstrum-domain filtering
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Algorithm for adaptively smoothing the log-periodogram
• Variance expressions for spectra estimated using auto-regressions.
• A likelihood approximation for locally stationary processes
• Nonasymptotic bounds for autoregressive time series modeling.
• Autoregressive spectral analysis when observations are missing
• Autoregression and irregular sampling: spectral estimation.
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• On the convergence of the spectrum of finite order approximations of stationary time series
• Recovering of autoregressive spectral estimates of signals buried in noise
• Two autoregressive identities
• Almost sure convergence analysis of autoregressive spectral estimation in additive noise
• Note on the autoregressive spectral estimator
• scientific article; zbMATH DE number 3942858 (Why is no real title available?)
• scientific article; zbMATH DE number 3942859 (Why is no real title available?)
• A New ARMA Spectral Estimator
• Loss of spectral peaks in autoregressive spectral estimation
• Autoregressive spectral estimation in additive noise
• The effect of order estimation on estimating the peak frequency of an autoregressive spectral density
• An efficient algorithm for two-dimensional autoregressive spectrum estimation
• Spectral analysis of MAR models
• Lag order selection for an optimal autoregressive covariance matrix estimator
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• Bias of Autoregressive Spectral Estimators
• A simple cointegrating rank test without vector autoregression
• On the statistics of estimated reflection and cepstrum coefficients of an autoregressive process
• ARMA spectral estimation based on partial autocorrelations

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