Information properties in spectral analysis of stationary time series
文献类型：期刊论文
| 作者 | Jiang, W; Cheng, SC; Xi, YM; Wang, SY |
| 刊名 | STATISTICA SINICA
 |
| 出版日期 | 2000 |
| 卷号 | 10期号:1页码:191-201 |
| 关键词 | ARMA model differential geometry Fisher information information loss Whittle estimator |
| ISSN号 | 1017-0405 |
| 英文摘要 | In this paper, we investigate some information properties of parameter estimation in spectral analysis of stationary time series based on a geometrical framework. Stationary ARMA models are studied as a submanifold in the exponential family and the so-called Whittle estimator is analyzed in association with the embedded curvatures. Asymptotic behaviors such as information loss and bias of the estimator are shown to be dependent on the curvatures of this manifold. Simulation studies are performed to compare the estimation error in AR(1) models with the corresponding results in the time domain. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000085148300016 |
| 出版者 | STATISTICA SINICA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/15252]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Jiang, W |
| 作者单位 | 1.Hong Kong Univ Sci & Technol, Dept Ind Engn & Engn Management, Hong Kong, Hong Kong 2.Xian Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China 3.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Jiang, W,Cheng, SC,Xi, YM,et al. Information properties in spectral analysis of stationary time series[J]. STATISTICA SINICA,2000,10(1):191-201. |
| APA | Jiang, W,Cheng, SC,Xi, YM,&Wang, SY.(2000).Information properties in spectral analysis of stationary time series.STATISTICA SINICA,10(1),191-201. |
| MLA | Jiang, W,et al."Information properties in spectral analysis of stationary time series".STATISTICA SINICA 10.1(2000):191-201. |
入库方式： OAI收割
来源：数学与系统科学研究院
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