Accession Number : ADA117072

Title :   Simultaneous Confidence Bands for Autoregressive Spectra.

Descriptive Note : Technical rept.,

Corporate Author : TEXAS A AND M UNIV COLLEGE STATION INST OF STATISTICS

Personal Author(s) : Newton,H Joseph ; Pagano,Marcello

PDF Url : ADA117072

Report Date : Jun 1982

Pagination or Media Count : 15

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.

Descriptors :   *Confidence level, *Estimates, *Normal density functions, *Asymptotic series, *Spectra, Regression analysis, Noise, Random variables, Covariance, Bivariate density functions, Probability, Value, Vector analysis, Band spectra, Automatic

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE