SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA

DOI10.1111/j.1467-9892.1990.tb00061.xzbMath0703.62100MaRDI QIDQ3482739

D. S. Poskitt, M. Mackisack

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00061.x

zbMATH Keywords

frequency; strong convergence; time series; mixed spectra; autoregressive spectral estimation; autoregressive approximation to the generalized spectral density; autoregressive transfer function approximation; sinusoidal signal in additive noise

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

Related Items

A modified prony algorithm for estimating sinusoidal frequencies, Autoregressive frequency detection using regularized least squares, Asymptotic normality of sample autocovariances with an application in frequency estimation

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