SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA

DOI10.1111/J.1467-9892.1990.TB00061.XMaRDI QIDQ3482739zbMATH OpenOpenAlexFDO

Authors M. Mackisack, D. S. Poskitt

Publication date 1990

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1990.tb00061.x

zbMATH Keywords

autoregressive approximation to the generalized spectral densityautoregressive spectral estimationautoregressive transfer function approximationfrequencymixed spectrasinusoidal signal in additive noisestrong convergencetime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Asymptotic statistical properties of AR spectral estimators for processes with mixed spectra
• scientific article; zbMATH DE number 5308270
• On guaranteed estimation of the spectral density of an autoregression moving average process
• On autocorrelation estimation in mixed-spectrum Gaussian processes
• Mixing properties of Banach valued autoregressive processes
• Autoregressive spectral estimates under ignored changes in the mean

Cites work

• A Method for Determining Periods in Time Series
• A parameter estimation approach to estimation of frequencies of sinusoids
• Asymptotic bias of the high-order autoregressive estimates of sinusoidal frequencies
• Autocorrelation, autoregression and autoregressive approximation
• Consistent autoregressive spectral estimates
• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3155190 (Why is no real title available?)
• scientific article; zbMATH DE number 3723736 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 3892457 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)

Cited in

(21)

• The asymptotic properties of the multichannel autoregressive spectral estimates
• Asymptotic variance of the AR spectral estimator for noisy sinusoidal data
• Asymptotic normality of sample autocovariances with an application in frequency estimation
• Autoregressive modelling in vector spaces: An application to narrow-bandwidth spectral estimation
• Estimation of the mixed AR and hidden periodic model
• Variance expressions for spectra estimated using auto-regressions.
• scientific article; zbMATH DE number 3852259 (Why is no real title available?)
• The "Unity-lagged" short-time spectrum of a narrow-band Gaussian process
• scientific article; zbMATH DE number 3943684 (Why is no real title available?)
• A New ARMA Spectral Estimator
• Loss of spectral peaks in autoregressive spectral estimation
• Autoregressive spectral estimation in additive noise
• Autoregressive frequency estimation
• scientific article; zbMATH DE number 617845 (Why is no real title available?)
• Asymptotic statistical properties of AR spectral estimators for processes with mixed spectra
• A modified prony algorithm for estimating sinusoidal frequencies
• scientific article; zbMATH DE number 2200736 (Why is no real title available?)
• Estimating the spectrum of a discrete-time stochastic process by an instrumental variable method
• On the statistics of estimated reflection and cepstrum coefficients of an autoregressive process
• Asymptotic analysis of a multiple frequency estimation method
• Autoregressive frequency detection using regularized least squares

This page was built for publication: SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3482739)