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Information properties in spectral analysis of stationary time series
Jiang, W; Cheng, SC; Xi, YM; Wang, SY
2000
Source PublicationSTATISTICA SINICA
ISSN1017-0405
Volume10Issue:1Pages:191-201
AbstractIn this paper, we investigate some information properties of parameter estimation in spectral analysis of stationary time series based on a geometrical framework. Stationary ARMA models are studied as a submanifold in the exponential family and the so-called Whittle estimator is analyzed in association with the embedded curvatures. Asymptotic behaviors such as information loss and bias of the estimator are shown to be dependent on the curvatures of this manifold. Simulation studies are performed to compare the estimation error in AR(1) models with the corresponding results in the time domain.
KeywordARMA model differential geometry Fisher information information loss Whittle estimator
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000085148300016
PublisherSTATISTICA SINICA
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/15253
Collection中国科学院数学与系统科学研究院
Affiliation1.Hong Kong Univ Sci & Technol, Dept Ind Engn & Engn Management, Hong Kong, Hong Kong
2.Xian Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China
3.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Jiang, W,Cheng, SC,Xi, YM,et al. Information properties in spectral analysis of stationary time series[J]. STATISTICA SINICA,2000,10(1):191-201.
APA Jiang, W,Cheng, SC,Xi, YM,&Wang, SY.(2000).Information properties in spectral analysis of stationary time series.STATISTICA SINICA,10(1),191-201.
MLA Jiang, W,et al."Information properties in spectral analysis of stationary time series".STATISTICA SINICA 10.1(2000):191-201.
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