USING PERIODIC AUTOREGRESSIONS FOR MULTIPLE SPECTRAL ESTIMATION Academic Article uri icon

abstract

  • A new method of estimating the spectral density of a multiple time series based on the concept of periodically stationary autoregressive processes is described and illustrated. It is shown that the method can often overcome some difliculties inherent in the traditional smoothed periodogram and autoregressive spectral-estimation methods and that additional insights into the structure of a multiple time series can be obtained by using periodic autoregressions. © 1982 Taylor & Francis Group, LLC.

author list (cited authors)

  • NEWTON, H. J.

publication date

  • January 1982