Spectral analysis of MAR models

MaRDI QIDQ4926732zbMATH OpenFDO

Authors Wengang Zhu

Publication date 20 June 2013

zbMATH Keywords

auto-covariance functionmixture autoregressive modelspectral densityspectral distribution function

Mathematics Subject Classification ID

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

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Cited in

(4)

• Exploratory spectral analysis of hydrological times series
• Spectral density of Markov-switching VARMA models
• The spectral representation of Markov switching ARMA models
• Model-based spectral coherence analysis

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