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Biometrika 1984 71(1):197-202; doi:10.1093/biomet/71.1.197
© 1984 by Biometrika Trust
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MISCELLANEA

Simultaneous confidence bands for autoregressive spectra

H. JOSEPH NEWTON and MARCELLO PAGANO

Institute of Statistics, Texas A & M University, College Station Texas, U.S.A.
Department of Biostatistics, Harvard University Boston, Massachusetts, U.S.A.

A shortcoming in the use of autoregressive spectral estimation has been the lack of methods for placing confidence intervals or bands on the estimated spectral density. We propose and illustrate a method for determining asymptotic simultaneous confidence bands using Scheffé projections.

Key Words: Autoregressive spectral estimation • Schefle projection • Spectral density function


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M. H. Neumann and E. Paparoditis
Simultaneous confidence bands in spectral density estimation
Biometrika, June 1, 2008; 95(2): 381 - 397.
[Abstract] [PDF]


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