Using Periodic Autoregressions for Multiple Spectral Estimation

DOI10.2307/1268487zbMath0485.62109OpenAlexW4233453838MaRDI QIDQ3945453

H. Joseph Newton

Publication date: 1982

Full work available at URL: https://doi.org/10.2307/1268487

zbMATH Keywords

multiple time seriesnew method of estimating spectral densityperiodically stationary autoregressive processesreview of existing methodsspectral-density function

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items (11)

ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS ⋮ DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION ⋮ Unnamed Item ⋮ Statistical analysis of periodic autoregression ⋮ ESTIMATION IN MULTIPLE AUTOREGRESSIVE-MOVING AVERAGE MODELS USING PERIODICITY ⋮ Multivariate autoregressive time semes modeling: one scalar autoregressive model at-A-time ⋮ On Markov-switching periodicARMAmodels ⋮ Generation Of Time Series Models With Given Spectral Properties ⋮ Unnamed Item ⋮ Minimum Hellinger distance estimates for a periodically time-varying long memory parameter ⋮ Periodic autoregression with exogenous variables and periodic variances

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