Spectral estimation of the multivariate impulse response

DOI10.1111/JTSA.12226MaRDI QIDQ2968473zbMATH OpenOpenAlexFDO

Authors G. Tunnicliffe Wilson

Publication date 16 March 2017

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

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/83859/1/JTSA12226GTWPP.pdf

zbMATH Keywords

information criterionspectral factorizationbandwidth choicecross-spectral analysisimpulse response estimation

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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Cites work

• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• A convergence theorem for spectral factorization
• A new look at the statistical model identification
• An optimal autoregressive spectral estimate
• Estimation of the Generalized Prediction Error Variance of a Multiple Time Series

Cited in

(4)

• Multisine multiexcitation in frequency response function estimation
• A New Family of High-Resolution Multivariate Spectral Estimators
• A unified view of multitaper multivariate spectral estimation
• scientific article; zbMATH DE number 3977451 (Why is no real title available?)

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