On Efficient AR Spectral Estimation for Long-Range Predictions

DOI10.1081/STA-200063153zbMath1072.62089MaRDI QIDQ5314590

Alex Karagrigoriou, Filia Vonta

Publication date: 5 September 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiency; spectral density; AIC; autoregressive process; integrated relative squared error

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62M15: Inference from stochastic processes and spectral analysis

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