Variance Expressions for Spectra Estimated Using Auto-Regressions
2004 (English)In: Journal of Econometrics, ISSN 0304-4076, E-ISSN 1872-6895, Vol. 118, no 1-2, 247-256 p.Article in journal (Refereed) Published
An expression for the variance of the estimated spectrum based on auto-regressions is developed. This expression is asymptotic in the number of data, but exact in the model order. As the order tends to infinity it converges to the well known result that the variance is proportional to the model order times the square of the spectrum itself. The exact expression gives insight into the character of this convergence, its speed and its dependence on the poles of the underlying AR-process.
Place, publisher, year, edition, pages
Elsevier, 2004. Vol. 118, no 1-2, 247-256 p.
Auto-regression, Spectra, Variance
IdentifiersURN: urn:nbn:se:liu:diva-22485DOI: 10.1016S0304-40760300142-8Local ID: 1732OAI: oai:DiVA.org:liu-22485DiVA: diva2:242798
© 2003 Elsevier B.V. All rights reserved.2009-10-072009-10-072013-08-28