Generalised Linear Spectral Models
Tommaso Proietti and
Alessandra Luati ()
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Alessandra Luati: University of Bologna
No 290, CEIS Research Paper from Tor Vergata University, CEIS
In this chapter we consider a class of parametric spectrum estimators based on a generalized linear model for exponential random variables with power link. The power transformation of the spectrum of a stationary process can be expanded in a Fourier series, with the coefficients representing generalised autocovariances. Direct Whittle estimation of the coefficients is generally unfeasible, as they are subject to constraints (the autocovariances need to be a positive semidefinite sequence). The problem can be overcome by using an ARMA representation for the power transformation of the spectrum. Estimation is carried out by maximising the Whittle likelihood, whereas the selection of a spectral model, as a function of the power transformation parameter and the ARMA orders, can be carried out by information criteria. The proposed methods are applied to the estimation of the inverse autocorrelation function and the related problem of selecting the optimal interpolator, and for the identification of spectral peaks. More generally, they can be applied to spectral estimation with possibly misspecified models.
Keywords: generalized linear models; iteratively weighted least squares, frequency domain methods (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2013-10-03, Revised 2013-10-03
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