Variance expressions for spectra estimated using auto-regressions.
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Publication:1421321
DOI10.1016/S0304-4076(03)00142-8zbMath1033.62090OpenAlexW1963768862WikidataQ59591940 ScholiaQ59591940MaRDI QIDQ1421321
Liang-Liang Xie, Lennart Ljung
Publication date: 26 January 2004
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00142-8
Related Items (2)
Covariance analysis in SISO linear systems identification ⋮ Variance-error quantification for identified poles and zeros
Cites Work
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- Consistent autoregressive spectral estimates
- Multivariate linear time series models
- Asymptotic properties of the least-squares method for estimating transfer functions and disturbance spectra
- Generalized Fourier and Toeplitz Results for Rational Orthonormal Bases
- The fundamental role of general orthonormal bases in system identification
- Asymptotic variance expressions for estimated frequency functions
- Variance Error Quantifications That Are Exact for Finite-Model Order
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