A METHOD FOR DETERMINING PERIODS IN TIME-SERIES Academic Article

abstract

• The periods corresponding to peaks in the autoregressive and window spectral density estimators are shown to be consistent and asymptotically normal estimators of peak periods in the true spectral density under assumptions of known autoregressive order and under slight modifications of the assumptions often made to show the asymptotic normality of window estimators, respectively. The asymptotic variances are obtained, and the use of the theory is illustrated by obtaining an asymptotic confidence interval for a peak period using a set of hormone data. 1983 Taylor & Francis Group, LLC.

authors

• Newton, H. Joseph

published proceedings

• JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

author list (cited authors)

• NEWTON, H. J., & PAGANO, M.

citation count

• 12

complete list of authors

• NEWTON, HJ||PAGANO, M

publication date

• March 1983

publisher

• Taylor & Francis  Publisher

keywords

• 38 Economics
• 3802 Econometrics
• 49 Mathematical Sciences
• 4905 Statistics

Digital Object Identifier (DOI)

• 10.2307/2287122

start page

• 152

end page

• 157

volume

• 78

issue

• 381

URL

• http://dx.doi.org/10.1080/01621459.1983.10477944