ASYMPTOTIC SIMULTANEOUS CONFIDENCE BANDS FOR AUTOREGRESSIVE SPECTRAL DENSITY

Ladislav. Tomášek

Journal of Time Series Analysis, 1987, vol. 8, issue 4, 469-477

Abstract: Abstract. On the basis of the asymptotic behaviour of autoregressive parameter estimates, the properties of autoregressive spectral density estimates are deduced. The simultaneous confidence bands for the spectra are derived using Šidák's inequality. Simulation experiments are used to illustrate the quality of the derived confidence bands.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:8:y:1987:i:4:p:469-477

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