On the frequency domain estimation of the innovation variance of a stationary univariate time series
On the frequency domain estimation of the innovation variance of a stationary univariate time series
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Publisher
Oxford: Oxford University Press
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English
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Oxford: Oxford University Press
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The innovation variance σ2 of a linear stochastic time series model can be estimated using periodogram ordinates. However, since the periodogram ordinates as estimators of the corresponding spectrum ordinates can show appreciable small-sample bias, it is believed that the estimator of σ2 is biased. One way of reducing the small-sample bias in the p...
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Full title
On the frequency domain estimation of the innovation variance of a stationary univariate time series
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TN_cdi_crossref_primary_10_1093_biomet_72_2_317
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1093_biomet_72_2_317
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ISSN
0006-3444
E-ISSN
1464-3510
DOI
10.1093/biomet/72.2.317
