Journal ArticleDOI
Basic Considerations in the Estimation of Spectra
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In this paper, the authors surveyed the existing methods of estimating the spectrum of a stationary time series from the point of view of the user of spectral techniques, and the role of the spectral bandwidth in the design of estimates was emphasised.Abstract:
The existing methods of estimating the spectrum of a stationary time series are surveyed from the point of view of the user of spectral techniques, and the role of the spectral bandwidth in the design of estimates is emphasised. A discussion on the construction of “optimum” estimates is included, and a note is added on the effect of transients on estimates obtained by means of filters.read more
Citations
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Journal ArticleDOI
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
TL;DR: Using these results, data-dependent automatic bandwidth/lag truncation parameters are introduced and asymptotically optimal kernel/weighting scheme and bandwidth/agreement parameters are obtained.
Journal ArticleDOI
Non-Parametric Function Fitting
M. B. Priestley,M. T. Chao +1 more
TL;DR: In this paper, the authors consider the problem of fitting a general functional relationship between two variables and require only that the function to be fitted is smooth, and do not assume that it has a known mathematical form involving only a finite number of unknown parameters.
Journal ArticleDOI
Power spectral analysis of non-stationary random processes
TL;DR: In this article, the problem of power spectral analysis for non-stationary processes is discussed from the point of view of physical and engineering applications, with emphasis on defining a nonstationary spectrum whose physical interpretation is similar to that of a stationary spectrum.
Journal ArticleDOI
Consistent testing for serial correlation of unknown form
TL;DR: In this article, the authors proposed three classes of consistent one-sided tests for serial correlation of unknown form for the residual from a linear dynamic regression model that includes both lagged dependent variables and exogenous variables.
References
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Journal ArticleDOI
The Measurement of Power Spectra
Book
The Measurement Of Power Spectra: From The Point Of View Of Communications Engineering
Ralph B Blackman,John W. Tukey +1 more
TL;DR: This account attempts to provide and relate the necessary ideas and techniques in reasonable detail to develop the insight necessary to plan both the acquisition of adequate data and sound procedures for its reduction to meaningful estimates.
Book
Statistical analysis of stationary time series
TL;DR: In this article, the spectrum is estimated by using a regression spectrum and the regression spectrum is then used to estimate the spectral density of a time series with respect to the spectrum of the time series.
Journal ArticleDOI
Smoothing Periodograms from Time-Series with Continuous Spectra
TL;DR: In this paper, the smoothing of periodograms obtained from autoregressive or other time-series with continuous spectra is equivalent to considering the first few sample autocorrelations.