自回归谱的同时置信带

Simultaneous Confidence Bands for Autoregressive Spectra

Biometrika · 1984
被引 2
ABS 4

中文导读

针对自回归谱估计缺乏置信区间方法的问题,提出利用Scheffé投影确定渐近同时置信带的方法,并给出示例。

Abstract

A shortcoming in the use of autoregressive spectral estimation has been the lack of methods for placing confidence intervals or bands on the estimated spectral density. We propose and illustrate a method for determining asymptotic simultaneous confidence bands using Scheffé projections.

时间序列分析谱分析统计推断自回归模型