Fitting Models to Spectra Using Regression Packages

Murray A. Cameron and T. Rolf Turner

Journal of the Royal Statistical Society Series C, 1987, vol. 36, issue 1, 47-57

Abstract: 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.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.2307/2347844

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:36:y:1987:i:1:p:47-57

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9876

Access Statistics for this article

Journal of the Royal Statistical Society Series C is currently edited by R. Chandler and P. W. F. Smith

More articles in Journal of the Royal Statistical Society Series C from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().