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SIMULTANEOUS CONFIDENCE BANDS FOR THE SPECTRAL ESTIMATE OF TWO‐CHANNEL AUTOREGRESSIVE PROCESSES
Author(s) -
Sakai Hideaki,
Sakaguchi Fuminori
Publication year - 1990
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1990.tb00041.x
Subject(s) - autoregressive model , mathematics , channel (broadcasting) , confidence interval , statistics , star model , maximum entropy spectral estimation , spectral analysis , asymptotic analysis , entropy (arrow of time) , spectral density estimation , principle of maximum entropy , mathematical analysis , time series , autoregressive integrated moving average , fourier transform , computer science , computer network , physics , quantum mechanics , spectroscopy
. In this paper we derive simultaneous confidence bands for the maximum entropy method spectral estimate of two‐channel autoregressive (AR) processes by using the asymptotic theory of the estimation of periodic AR processes.