On Efficient AR Spectral Estimation for Long-Range Predictions

DOI10.1081/STA-200063153zbMath1072.62089OpenAlexW2011235610MaRDI QIDQ5314590

Filia Vonta, Alex Karagrigoriou

Publication date: 5 September 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-200063153

zbMATH Keywords

asymptotic efficiencyspectral densityAICautoregressive processintegrated relative squared error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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