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Biometrika 2000 87(1):173-182; doi:10.1093/biomet/87.1.173
© 2000 by Biometrika Trust
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Asymptotic simultaneous confidence bands for vector autoregressive spectra

B HrafnkelssonA1 and HJ NewtonA2

A1 Department of Statistics, 404 Cockins Hall, 1958 Neil Avenue, Ohio State University, Colombus, OH 43210-1247, USA E-mail: birgir@stat.ohio-state.edu A2 Department of Statistics, Texas A&M University, College Station, TX 77843-3143, USA E-mail: jnewton@stat.tamu.edu

Asymptotic simultaneous confidence bands for all {omega} in [0, 0.5] are obtained for each scalar function in a spectral density matrix, as well as for the logarithm of the autospectra, the squared coherence and the phase spectra. The bands are illustrated using a simulation study and surface elevation data.

Key Words: Periodic autoregressive process; Simultaneous confidence bands; Spectral density matrix; Vector autoregressive process


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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.
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