On two-stage estimation of the spectral density with assigned risk in presence of missing data

DOI10.1111/JTSA.12435MaRDI QIDQ5382476zbMATH OpenOpenAlexWikidataFDO

Authors Sam Efromovich

Publication date 17 June 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12435

zbMATH Keywords

adaptationARMAminimaxMISEsequential estimatortime series

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Sequential statistical analysis (62L10) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Two-stage nonparametric sequential estimation of the directional density with complete and missing observations
• Estimation of the spectral density with assigned risk
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data

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