A Study of Autoregressive and Window Spectral Estimation

DOI10.2307/2346656zbMath0452.62076OpenAlexW2430978105MaRDI QIDQ3899358

N. Beamish, M. B. Priestley

Publication date: 1981

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2346656

zbMATH Keywords

estimationautoregressive modelsspectral windowsorder determination criteria

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY ⋮ An improved estimation method for univariate autoregressive models ⋮ LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION ⋮ Estimation of periodicities in hydrologic data ⋮ The estimation of the order of an ARMA process using third-order statistics ⋮ Automatic identification of ARMA systems ⋮ ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING ⋮ AR and ARMA spectral estimation

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