SIMULTANEOUS CONFIDENCE BANDS FOR THE SPECTRAL ESTIMATE OF TWO‐CHANNEL AUTOREGRESSIVE PROCESSES

Hideaki Sakai and Fuminori Sakaguchi

Journal of Time Series Analysis, 1990, vol. 11, issue 1, 49-56

Abstract: Abstract. In this paper we derive simultaneous confidence bands for the maximum entropy method spectral estimate of two‐channel autoregressive (AR) processes by using the asymptotic theory of the estimation of periodic AR processes.

Date: 1990
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https://doi.org/10.1111/j.1467-9892.1990.tb00041.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:1:p:49-56

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