Skip Navigation

Biometrika 2009 96(1):107-117; doi:10.1093/biomet/asn067
This Article
Right arrow Full Text (PDF)
Right arrow References
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Shao, X.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© 2009 Biometrika Trust

Articles

Confidence intervals for spectral mean and ratio statistics

Xiaofeng Shao

Department of Statistics, University of Illinois at Urbana-Champaign, 725 South Wright Street, Champaign, Illinois 61820, U.S.A. xshao{at}uiuc.edu

Received for publication 1 January 2008. Revision received 1 June 2008.
  Abstract

We propose a new method, to construct confidence intervals for spectral mean and related ratio statistics of a stationary process, that avoids direct estimation of their asymptotic variances. By introducing a bandwidth, a self-normalization procedure is adopted and the distribution of the new statistic is asymptotically nuisance-parameter free. The bandwidth is chosen using information criteria and a moving average sieve approximation. Through a simulation study, we demonstrate good finite sample performance of our method when the sample size is moderate, while a comparison with an empirical likelihood-based method for ratio statistics is made, confirming a wider applicability of our method.

Key Words: Autocorrelation • Cumulant • Ratio statistic • Spectral density • Spectral distribution function


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.