THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES

DOI10.1111/j.1467-9892.1989.tb00023.xzbMath0708.62082OpenAlexW2042926852MaRDI QIDQ3490808

T. Subba Rao, M. M. Gabr

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1989.tb00023.x

zbMATH Keywords

spectral estimationtime serieseigenvalueseigenvectorsWishart matricesinverse spectrumasymptotic sampling propertiesBartlett's estimatecircular symmetric matriceshigh resolution estimationinverse auto-covariances

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Partial and inverse autocorrelations in portmanteau-type tests for time series ⋮ A new non‐parametric cross‐spectrum estimator ⋮ Estimating the inverse autocorrelation function from outlier contaminated data ⋮ A periodogram-based metric for time series classification ⋮ The estimation of the bispectral density function and the detection of periodicities in a signal

Cites Work

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• Nonlinear methods of spectral analysis. With contributions by J. Capon, S. Haykin, S. Kesler, R. N. McDonough, M. Ooe, E. A. Robinson, T. J. Ulbrych
• The estimation of the bispectral density function and the detection of periodicities in a signal
• The Inverse Autocorrelations of a Time Series and Their Applications
• Asymptotic Theory for Principal Component Analysis
• On the asymptotic eigenvalue distribution of Toeplitz matrices
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA

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