An Optimal Autoregressive Spectral Estimate
Shibata, Ritei
Ann. Statist., Tome 9 (1981) no. 1, p. 300-306 / Harvested from Project Euclid
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An asymptotic lower bound is obtained for the integrated relative squared error of autoregressive spectral estimate when the order of autoregression is selected. The bound is attained in the limit by the same selection as has been proposed for prediction.
Publié le : 1981-03-14
Classification:  Spectral estimate,  autoregression,  model selection,  62M15,  62M10 
@article{1176345396,
     author = {Shibata, Ritei},
     title = {An Optimal Autoregressive Spectral Estimate},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 300-306},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345396}
}

Shibata, Ritei. An Optimal Autoregressive Spectral Estimate. Ann. Statist., Tome 9 (1981) no. 1, pp.  300-306. http://gdmltest.u-ga.fr/item/1176345396/