Asymptotic statistical properties of autoregressive model for mixed spectrum estimation
نویسندگان
چکیده
This work addresses the influence of point spectrum on large sample statistics of the autoregressive spectral estimator. In particular, the asymptotic distributions of the AR coefficients, the innovations variance, and the spectral density estimator of a finite order AR(p) model for a mixed spectrum process are presented. Numerical simulations are performed to verify the analytical results.
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