Peak-insensitive parametric spectrum estimation

Shean-Tsong Chiu

Stochastic Processes and their Applications, 1990, vol. 35, issue 1, 121-140

Abstract: The problem of estimating the parameters of the continuous spectrum of a time series which might contain periodic components is studied. When a series contains periodic components, the periodogram ordinates at frequencies near the frequencies of the periodic components have significant amplitude, and can be viewed as outliers in an exponential sample. Three estimation procedures are proposed, which apply robust techniques on the periodogram ordinates to reduce the effect of the peaks. Under some regularity conditions, the asymptotic distributions of the estimates are derived. The proposed procedures have one major advantage that they do not need a precise model for the periodic components, and therefore can be applied when the periodic components are too complicated to model or when the number of the periodic components is unknown. The procedures are applied to a simulated series and the data set of the Canadian lynx trappings. An order selection criterion is also proposed.

Keywords: time; series; periodogram; spectrum; robust; estimation; periodic; component; Canadian; lynx; trappings (search for similar items in EconPapers)
Date: 1990
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(90)90127-E
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:35:y:1990:i:1:p:121-140

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().