Adaptive estimates for autoregressive processes
โ Scribed by Rudolf Beran
- Publisher
- Springer Japan
- Year
- 1976
- Tongue
- English
- Weight
- 595 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0020-3157
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๐ SIMILAR VOLUMES
We consider an r-dimensional multivariate time series [y t , t # Z] which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finite k-order vector autoregressive process (k ร at an appr
The use of autoregressive modelling has acquired great importance in time series analysis and in principle it may also be applicable in the spectral analysis of point processes with similar advantages over the nonparametric approach. Most of the methods used for autoregressive spectral analysis requ