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Biometrika 1987 74(1):200-206; doi:10.1093/biomet/74.1.200
© 1987 by Biometrika Trust
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MISCELLANEA

Loss of spectral peaks in autoregressive spectral estimation

DAN LYSNE and DAG TJØSTHEIM

Rogaland Research Institute Ullandhaug, 4001 Stavanger, Norway
Department of Mathematics, University of Bergen 5000 Bergen, Norway

Autoregressive spectral analysis depends on the method used for estimating the autoregressive parameters. It is shown by an asymptotic analysis involving second-order terms that least-squares estimates should be preferred to Yule-Walker estimates, since Yule-Walker estimates may result in loss of spectral peaks and strong bias. The results are confirmed by simulations which include also Burg-type estimates.

Key Words: Autoregressive spectral estimation • Bias • Burg • Least-squares • Yule-Walker estimates


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