SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA

M. S. Mackisack, D. S. Poskitt

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Abstract

Abstract. A formal justification for the use of the method of autoregressive spectral estimation for time series consisting of a sinusoidal signal in additive noise is given in this paper. The analytical properties of the autoregressive approximation to the generalized spectral density of the process are presented, and the operational characteristics of the statistical estimation procedure are discussed. In particular, strong convergence of the autoregressive parameters and the autoregressive transfer function approximation is shown.

Original languageEnglish
Pages (from-to)325-337
Number of pages13
JournalJournal of Time Series Analysis
Volume11
Issue number4
DOIs
Publication statusPublished - 1 Jan 1990
Externally publishedYes

Keywords

  • approximation
  • Autoregression
  • convergence
  • estimation
  • frequency
  • mixed spectra
  • spectrum
  • transfer function

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