Asymptotic simultaneous confidence bands for vector autoregressive spectra

DOI10.1093/BIOMET/87.1.173zbMATH Open0974.62080OpenAlexW2095077004MaRDI QIDQ4949549FDOQ4949549

Authors: Birgir Hrafnkelsson, H. Joseph Newton 

Publication date: 16 December 2001

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/87.1.173

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zbMATH Keywords

simulationssimultaneous confidence bandsvector autoregressive processspectral density matrixperiodic autoregressive process

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Inference from stochastic processes and spectral analysis (62M15) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cited In (6)

• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• On confidence bands for time series problems in the time and frequency domains
• Simultaneous confidence bands in spectral density estimation
• Simultaneous confidence bands for autoregressive spectra
• ASYMPTOTIC SIMULTANEOUS CONFIDENCE BANDS FOR AUTOREGRESSIVE SPECTRAL DENSITY
• Simultaneous Confidence Regions for the Frequency Analysis of Multiple Time Series

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