Asymptotic simultaneous confidence bands for vector autoregressive spectra

DOI10.1093/BIOMET/87.1.173MaRDI QIDQ4949549zbMATH OpenOpenAlexFDO

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

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)

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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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