Asymptotic statistical properties of spectral estimates with different tapers for discrete time processes.

DOI10.1016/S0096-3003(03)00299-6zbMath1045.62094OpenAlexW1973242712MaRDI QIDQ1428587

A. A. M. Teamah, Hassan S. Bakouch

Publication date: 29 March 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00299-6

zbMATH Keywords

Data tapersDiscrete time stationary processesFinite Fourier transformOverlapped and non-overlapped intervalsSpectral estimatesSpectral smoothing

Mathematics Subject Classification ID

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

Related Items (1)

A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))

Cites Work

• Estimating the spectral density, autocovariance function and spectral measure of continuous-time stationary processes
• On a spectral density estimate obtained by averaging periodograms
• Asymptotic properties of spectral estimates of second order
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