Loss of spectral peaks in autoregressive spectral estimation

DOI10.1093/biomet/74.1.200zbMath0607.62114OpenAlexW2169710303MaRDI QIDQ3746741

Dag Tjøstheim, Dan Lysne

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.1.200

zbMATH Keywords

asymptotic analysissimulationsleast-squares estimatescomparison of estimatorsYule-Walker estimatesBurg-type estimatesAutoregressive spectral analysisloss of spectral peaksstrong bias

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

An improved estimation method for univariate autoregressive models ⋮ THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS ⋮ Autoregressive spatial spectral estimates ⋮ Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases ⋮ On the criterion function for ARMA estimation ⋮ The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes

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