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Statistical Methods in Spectral Estimation

Dahlhaus, Rainer

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Abstract

The paper gives an overview over the work of the Teilprojekt B2 inspectral estimation for time series during the period 1988-1992. Highresolution spectral estimates are introduced and the role of data tapers arediscussed. Parametric models such as ARMA-models are fitted and judged byfrequency domain methods. Furthermore, a method for the detection of hiddenfrequencies is discussed. The methods are illustrated by simulations.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 27 Jun 2016 15:02
Date: July 1993
Number of Pages: 16
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 310 General statistics
510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
Additional Information: This paper was presented in the final colloquium of the Sonderforschungsbereich 123 “Stochastische Mathematische Modelle” in Heidelberg, December 12, 1992.
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