A Method for Determining Periods in Time Series

DOI10.2307/2287122zbMath0511.62100OpenAlexW4246923955MaRDI QIDQ4749051

H. Joseph Newton, Marcello Pagano

Publication date: 1983

Full work available at URL: https://doi.org/10.2307/2287122

zbMATH Keywords

consistencyasymptotic normalityasymptotic variancesasymptotic confidence intervalautoregressive spectral estimatorestimating peak periodspeak periodswindow spectral density estimatorszero mean covariance stationary time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10)

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