Information properties in spectral analysis of stationary time series

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	Information properties in spectral analysis of stationary time series
	Jiang, W ; Cheng, SC ; Xi, YM ; Wang, SY
	2000
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	10 期号:1 页码:191-201
摘要	In 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.
关键词	ARMA model differential geometry Fisher information information loss Whittle estimator
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000085148300016
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15253
专题	中国科学院数学与系统科学研究院
通讯作者	Jiang, W
作者单位	1.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
推荐引用方式 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.