论文信息 - On a spectral estimate obtained by an autoregressive model fitting

On a spectral estimate obtained by an autoregressive model fitting

Abstract : A stationary Gaussian process X(t) is considered which is expressed as an autoregressive process of infinite order. An autoregressive model of finite order K is fitted for this process and an estimate for the spectral density is obtained. The consistency and the asymptotic normality of this estimate under some conditions are shown. This estimate has an asymptotically efficient property in a sense under some conditions which are stronger than Berk's conditions.

Mituaki Huzii | Mituaki Huzii

[1] T. Anderson. Statistical analysis of time series , 1974 .

[2] H. Cramér. A contribution to the theory of statistical estimation , 1946 .

[3] Richard H. Jones,et al. Identification and autoregressive spectrum estimation , 1974, CDC 1974.

[4] K. Berk. Consistent Autoregressive Spectral Estimates , 1974 .

[5] J. Wise,et al. THE AUTOCORRELATION FUNCTION AND THE SPECTRAL DENSITY FUNCTION , 1955 .

[6] W. Gersch,et al. Estimation of power spectra with finite-order autoregressive models , 1973 .

[7] H. Akaike. Power spectrum estimation through autoregressive model fitting , 1969 .