Simultaneous Confidence Bands for Autoregressive Spectra.

Abstract

Autogressive spectral estimation has become an important method of spectral estimation in recent years despite (1) a continuing discussion of the problems of order determination and (2) a lack of easily applied procedures for determining confidence intervals or bands on the function being estimated. In this paper, we derive asymptotic 100 (1-alpha)% simultaneous confidence bands for an autoregressive spectral density assuming one has data from a finite order autoregressive process with known order or conditional upon having correctly determined the order if it is unknown. The bands are derived in section 2 and their implementation described on simulated data in section 3.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1982
Accession Number
ADA117072

Entities

People

  • H. Joseph Newton
  • Marcello Pagano

Organizations

  • Texas A&M University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Analysis Of Variance
  • Covariance
  • Data Science
  • Estimators
  • Information Science
  • Intervals
  • Military Research
  • New York
  • Probability
  • Random Variables
  • Spectra
  • Statistical Inference
  • Statistics
  • Time Series Analysis
  • Universities
  • White Noise

Readers

  • Spectroscopy.
  • Statistical inference.