Consistent Autoregressive Spectral Estimates
Berk, Kenneth N.
Ann. Statist., Tome 2 (1974) no. 1, p. 489-502 / Harvested from Project Euclid
We consider an autoregressive linear process $\{x_t\}$, a one-sided moving average, with summable coefficients, of independent identically distributed variables $\{e_t\}$ with zero mean and fourth moment, such that $\{e_t\}$ is expressible in terms of past values of $\{x_t\}$. The spectral density of $\{x_t\}$ is assumed bounded and bounded away from zero. Using data $x_1,\cdots, x_n$ from the process, we fit an autoregression of order $k$, where $k^3/n \rightarrow 0$ as $n \rightarrow \infty$. Assuming the order $k$ is asymptotically sufficient to overcome bias, the autoregression yields a consistent estimator of the spectral density of $\{x_t\}$. Furthermore, assuming $k$ goes to infinity so that the bias from using a finite autoregression vanishes at a sufficient rate, the autoregressive spectral estimates are asymptotically normal, uncorrelated at different fixed frequencies. The asymptotic variance is the same as for spectral estimates based on a truncated periodogram.
Publié le : 1974-05-14
Classification:  Autoregression,  time series,  spectral analysis,  62M15,  62E20
@article{1176342709,
     author = {Berk, Kenneth N.},
     title = {Consistent Autoregressive Spectral Estimates},
     journal = {Ann. Statist.},
     volume = {2},
     number = {1},
     year = {1974},
     pages = { 489-502},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342709}
}
Berk, Kenneth N. Consistent Autoregressive Spectral Estimates. Ann. Statist., Tome 2 (1974) no. 1, pp.  489-502. http://gdmltest.u-ga.fr/item/1176342709/