On the frequency domain estimation of the innovation variance of a stationary univariate time series

DOI10.1093/biomet/72.2.317zbMath0571.62084OpenAlexW2052500876MaRDI QIDQ3687559

Hans Nyquist, Tarmo M. Pukkila

Publication date: 1985

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/72.2.317

zbMATH Keywords

simulationtaperingfrequency domain estimationperiodogram ordinatesinnovation variancesmall-sample biaslarge bias-reducingstationary univariate time seriesvariance-reducing

Mathematics Subject Classification ID

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

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