On the relation between fitting autoregression and periodogram with applications

DOI10.1214/aos/1176344557zbMath0395.62066OpenAlexW2078122880MaRDI QIDQ1253079

Takashi Soeda, Hidekatsu Tokumaru, Hideaki Sakai

Publication date: 1979

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

Full work available at URL: https://doi.org/10.1214/aos/1176344557

zbMATH Keywords

Autoregressive Spectral EstimationCalculation of Error Covariance MatricesFitting AutoregressionPeriodogramTime Series ProblemsYule-Walker Equations

Mathematics Subject Classification ID

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

Related Items (6)

Fitting autoregression with regularly missed observations ⋮ Feature matching in time series modeling ⋮ ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH ⋮ Recursive parameter estimation of an autoregressive process disturbed by white noise ⋮ Un algoritmo iterativo para la estimacion de modelos arma con ausencia de observaciones ⋮ Identification and estimation algorithm for stochastic neural system

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