Simultaneous Confidence Regions for the Frequency Analysis of Multiple Time Series

DOI10.2307/2289163zbMATH Open0608.62114OpenAlexW4232944209MaRDI QIDQ3747569FDOQ3747569

Authors: Alan Julian Izenman, Sanat K. Sarkar 

Publication date: 1987

Full work available at URL: https://doi.org/10.2307/2289163

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zbMATH Keywords

time seriesconfidence regionsgainsdifferential identityfinite Fourier transformfrequency analysisphasesmultiple regression analysisasymptotic simultaneous confidence regionscomplex multivariate Gaussian distributioncomplex-valued variatesmultivariate probability inequality

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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