An optimal autoregressive spectral estimate

DOI10.1214/aos/1176345396zbMath0459.62083OpenAlexW2078542209MaRDI QIDQ1152195

Ritei Shibata

Publication date: 1981

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345396

zbMATH Keywords

AIC criterionorder selectionasymptotic lower boundintegrated relative squared erroroptimal autoregressive spectral estimate

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items (18)

REGRESSION, AUTOREGRESSION MODELS ⋮ Estimation of the memory parameter by fitting fractionally differenced autoregressive models ⋮ Asymptotically efficient autoregressive model selection for multistep prediction ⋮ THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN ⋮ On Efficient AR Spectral Estimation for Long-Range Predictions ⋮ J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY ⋮ ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS ⋮ Strong consistency of the regularized least-squares estimates of infinite autoregressive models ⋮ Spectral Estimation of the Multivariate Impulse Response ⋮ Autoregressive spatial spectral estimates ⋮ Autoregressive-aided periodogram bootstrap for time series ⋮ AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS ⋮ ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS ⋮ From data to stochastic models ⋮ Bootstrapping spectra: methods, comparisons and application to knock data ⋮ Nonasymptotic bounds for autoregressive time series modeling. ⋮ ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES ⋮ The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

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