On a spectral estimate obtained by an autoregressive model fitting

DOI10.1007/BF02532802zbMath0426.62064MaRDI QIDQ1136187

Mituaki Huzii

Publication date: 1977

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencymaximum likelihood estimatespectral estimateautoregressive model fitting

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

AN EXAMINATION OF ESTIMATED RESIDUALS IN A REGRESSION WITH AN INFINITE ORDER PARAMETRIC MODEL ⋮ Simultaneous confidence bands for sequential autoregressive fitting

Cites Work

• Consistent autoregressive spectral estimates
• Power spectrum estimation through autoregressive model fitting
• THE AUTOCORRELATION FUNCTION AND THE SPECTRAL DENSITY FUNCTION
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