THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES

DOI10.1111/J.1467-9892.1989.TB00023.XMaRDI QIDQ3490808zbMATH OpenOpenAlexFDO

Authors T. Subba Rao, M. M. Gabr

Publication date 1989

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1989.tb00023.x

zbMATH Keywords

asymptotic sampling propertiesBartlett's estimatecircular symmetric matriceseigenvalueseigenvectorshigh resolution estimationinverse auto-covariancesinverse spectrumspectral estimationtime seriesWishart matrices

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• Asymptotic Theory for Principal Component Analysis
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• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3223275 (Why is no real title available?)
• Nonlinear methods of spectral analysis. With contributions by J. Capon, S. Haykin, S. Kesler, R. N. McDonough, M. Ooe, E. A. Robinson, T. J. Ulbrych
• On the asymptotic eigenvalue distribution of Toeplitz matrices
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• The estimation of the bispectral density function and the detection of periodicities in a signal
• The Inverse Autocorrelations of a Time Series and Their Applications

Cited in

(8)

• Estimating the inverse autocorrelation function from outlier contaminated data
• The estimation of the bispectral density function and the detection of periodicities in a signal
• On the behavior of a Capon-type spectral density estimator
• Algebraic approach in pseudo-spectra estimation
• scientific article; zbMATH DE number 486681 (Why is no real title available?)
• Partial and inverse autocorrelations in portmanteau-type tests for time series
• A new non‐parametric cross‐spectrum estimator
• A periodogram-based metric for time series classification

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