Note on the autoregressive spectral estimator

zbMath1272.62063MaRDI QIDQ367538

Carlos I. Martínez, Raul Pedro Mentz

Publication date: 16 September 2013

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

asymptotic propertiesMonte Carlo simulationconfidence bandsestimation of autoregressive order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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