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Fitting Models to Spectra Using Regression Packages
Author(s) -
Cameron Murray A.,
Turner T. Rolf
Publication year - 1987
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347844
Subject(s) - statistics , regression analysis , regression , mathematics , econometrics , computer science
SUMMARY Much time series analysis can be performed by using readily available regression packages. In this paper it is shown that several frequency domain estimation algorithms for commonly used time series models may be recast as (possibly iterative) least squares regressions. This approach is exemplified by the fitting of (i) ARMA models (ii) the model described by Bloomfield (1973) and (iii) a model of Kolmogorov (1941) for the spectrum of turbulence in a fluid.
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