A Simulation Study of the Estimation of Evolutionary Spectral Functions

W.‐Y. T. Chan and H. Tong

Journal of the Royal Statistical Society Series C, 1975, vol. 24, issue 3, 333-341

Abstract: In recent years, the theory of evolutionary spectral analysis of non‐stationary time series has been fairly widely used. However, owing to the difficulty of deriving exact sampling results, all the studies undertaken to date rely mainly on approximate results. In the absence of exact results, it is therefore of interest to conduct a fairly extensive simulation study.

Date: 1975
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