A mean squared error criterion for time series data windows

DOI10.1093/biomet/75.3.485zbMath0651.62086OpenAlexW2070286914MaRDI QIDQ3796593

Clifford M. Hurvich

Publication date: 1988

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/75.3.485

zbMATH Keywords

Monte Carloautoregressive processesestimating the optimal degree of taperingperiodogram mean integrated squared error criteriontime series data windowsTukey's cosine window

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

A data-driven test to compare two or multiple time series ⋮ Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study. ⋮ Spectral methods for small sample time series: A complete periodogram approach

This page was built for publication: A mean squared error criterion for time series data windows