Variance expressions for spectra estimated using auto-regressions

doi:10.1016/S0304-4076(03)00142-8

CSpace

	Variance expressions for spectra estimated using auto-regressions
	Xie, LL ; Ljung, L
	2004
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	118 期号:1-2 页码:247-256
摘要	An expression for the variance of the estimated spectrum based on auto-regressions is developed. This expression is asymptotic in the number of data, but exact in the model order. As the order tends to infinity it converges to the well known result that the variance is proportional to the model order times the square of the spectrum itself. The exact expression gives insight into the character of this convergence, its speed and its dependence on the poles of the underlying AR-process. (C) 2003 Elsevier B.V. All rights reserved.
关键词	variance spectra auto-regression
DOI	10.1016/S0304-4076(03)00142-8
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000186669100012
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/960
专题	中国科学院数学与系统科学研究院
通讯作者	Ljung, L
作者单位	1.Linkoping Univ, Dept Elect Engn, S-58183 Linkoping, Sweden 2.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Xie, LL,Ljung, L. Variance expressions for spectra estimated using auto-regressions[J]. JOURNAL OF ECONOMETRICS,2004,118(1-2):247-256.
APA	Xie, LL,&Ljung, L.(2004).Variance expressions for spectra estimated using auto-regressions.JOURNAL OF ECONOMETRICS,118(1-2),247-256.
MLA	Xie, LL,et al."Variance expressions for spectra estimated using auto-regressions".JOURNAL OF ECONOMETRICS 118.1-2(2004):247-256.