SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA

DOI10.1111/j.1467-9892.1990.tb00061.xzbMath0703.62100OpenAlexW2090585594MaRDI QIDQ3482739

D. S. Poskitt, M. Mackisack

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00061.x

zbMATH Keywords

frequencystrong convergencetime seriesmixed spectraautoregressive spectral estimationautoregressive approximation to the generalized spectral densityautoregressive transfer function approximationsinusoidal signal in additive noise

Mathematics Subject Classification ID

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

Related Items (3)

Asymptotic normality of sample autocovariances with an application in frequency estimation ⋮ A modified prony algorithm for estimating sinusoidal frequencies ⋮ Autoregressive frequency detection using regularized least squares

Cites Work

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• Autocorrelation, autoregression and autoregressive approximation
• Asymptotic bias of the high-order autoregressive estimates of sinusoidal frequencies
• Consistent autoregressive spectral estimates
• A parameter estimation approach to estimation of frequencies of sinusoids
• A Method for Determining Periods in Time Series

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