Estimation of the mixed AR and hidden periodic model

DOI10.1007/BF02015141zbMath0890.62067MaRDI QIDQ1367252

Shu-yuan He

Publication date: 21 September 1997

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

time seriesfrequency estimationconvergence ratelaw of iterated logarithmstrong consistencyAR modelsYule-Walker estimatehidden periodic models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

Related Items (2)

Parameter estimation of hidden periodic model in random fields ⋮ Empirical determination of the frequencies of an almost periodic time series

Cites Work

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• The maximum of the periodogram
• Time series: theory and methods
• On estimating the hidden periodicities in linear time series models
• Recursive method for ARMA model estimation. I
• A law of the iterated logarithm for an estimate of frequency
• The estimation of frequency
• Optimal Choice of AR and MA Parts in Autoregressive Moving Average Models
• Consistent estimates for hidden frequencies in a linear process
• Non-linear time series regression

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