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Spectral Analysis of a Stationary Time Series Using Initially Scarce Data

โœ Scribed by Henry R. Neave


Book ID
124288998
Publisher
Oxford University Press
Year
1970
Tongue
English
Weight
967 KB
Volume
57
Category
Article
ISSN
0006-3444

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An important problem in time series is the estimation of the spectral density or spectrum of a stationary process. In this paper we propose to use an M-type smoothing spline to estimate the spectrum. We derive some general results for these type of estimators which allow us to choose the optimal M-t