A UNIFIED APPROACH TO CONFIDENCE BOUNDS FOR THE AUTOREGRESSIVE SPECTRAL ESTIMATOR

Judith W. Koslov and Richard H. Jones

Journal of Time Series Analysis, 1985, vol. 6, issue 3, 141-151

Abstract: Abstract. Confidence bounds for the spectral density of a stationary time series are derived. A unified method begins with the autoregressive spectral estimate and produces both confidence intervals at single frequencies chosen a priori and a simultaneous confidence band for multiple a posteriori comparisons. The crux is optimization of a quadratic form subject to the constraint imposed by the F‐statistic. An approximate method that may produce tighter bounds is described. The former methods are demonstrated on the Waldmeier annual mean sunspot numbers.

Date: 1985
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https://doi.org/10.1111/j.1467-9892.1985.tb00405.x

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