On A Spectral Estimate Obtained by an Autoregressive Model Fitting
STANFORD UNIV CA DEPT OF STATISTICS
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A stationary Gaussian process Xt is considered which is expressed as an autoregressive process of infinite order. An autoregressive model of finite order K is fitted for this process and an estimate for the spectral density is obtained. The consistency and the asymptotic normality of this estimate under some conditions are shown. This estimate has an asymptotically efficient property in a sense under some conditions which are stronger than Berks conditions.
- Statistics and Probability