A Study of Autoregressive and Window Spectral Estimation

N. Beamish and M. B. Priestley

Journal of the Royal Statistical Society Series C, 1981, vol. 30, issue 1, 41-58

Abstract: This paper describes the results of a simulation study aimed at comparing the relative merits of ar (autoregressive) and “Window” spectral estimation for stationary time series. Seven models are considered, namely ar(2), ar(4), ar(5), arma(2,2), ma(1) (two cases) and a process with a “mixed” spectrum. The paper also includes some discussion of two different methods of estimating the coefficients of ar models (the Burg method and the Yule–Walker approach), and of the performance of various order determination criteria, such as FPE, AIC and CAT.

Date: 1981
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