Variance expressions for spectra estimated using auto-regressions
文献类型：期刊论文
| 作者 | Xie, LL; Ljung, L |
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2004 |
| 卷号 | 118期号:1-2页码:247-256 |
| 关键词 | variance spectra auto-regression |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/S0304-4076(03)00142-8 |
| 英文摘要 | 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. (C) 2003 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000186669100012 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/959]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Ljung, L |
| 作者单位 | 1.Linkoping Univ, Dept Elect Engn, S-58183 Linkoping, Sweden 2.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xie, LL,Ljung, L. Variance expressions for spectra estimated using auto-regressions[J]. JOURNAL OF ECONOMETRICS,2004,118(1-2):247-256. |
| APA | Xie, LL,&Ljung, L.(2004).Variance expressions for spectra estimated using auto-regressions.JOURNAL OF ECONOMETRICS,118(1-2),247-256. |
| MLA | Xie, LL,et al."Variance expressions for spectra estimated using auto-regressions".JOURNAL OF ECONOMETRICS 118.1-2(2004):247-256. |
入库方式： OAI收割
来源：数学与系统科学研究院
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