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Power spectrum estimation through autoregressive model fitting

Author

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  • Hirotugu Akaike
Abstract
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Suggested Citation

  • Hirotugu Akaike, 1969. "Power spectrum estimation through autoregressive model fitting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 407-419, December.
    • Handle: RePEc:spr:aistmt:v:21:y:1969:i:1:p:407-419
    DOI: 10.1007/BF02532269
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    References listed on IDEAS

    as
    1. Hirotugu Akaike, 1969. "A method of statistical identification of discrete time parameter linear systems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 225-242, December.
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    Citations

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    Cited by:

    1. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    2. Berkowitz, J. & Birgean, I. & Kilian, L., 1999. "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," Papers 99-01, Michigan - Center for Research on Economic & Social Theory.
    3. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
    4. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
    5. Gupta, Abhimanyu, 2018. "Autoregressive spatial spectral estimates," Journal of Econometrics, Elsevier, vol. 203(1), pages 80-95.
    6. Jirak, Moritz, 2014. "Simultaneous confidence bands for sequential autoregressive fitting," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 130-149.
    7. Suhasini Subba Rao & Junho Yang, 2023. "A prediction perspective on the Wiener–Hopf equations for time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 23-42, January.
    8. Peterson, Hikaru Hanawa & Tomek, William G., 2000. "Implications Of Deflating Commodity Prices For Time-Series Analysis," 2000 Conference, April 17-18 2000, Chicago, Illinois 18944, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    9. repec:wyi:journl:002213 is not listed on IDEAS
    10. repec:esx:essedp:767 is not listed on IDEAS
    11. Papailias, Fotis & Thomakos, Dimitrios, 2017. "EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues," International Journal of Forecasting, Elsevier, vol. 33(1), pages 214-229.
    12. Gupta, A, 2015. "Autoregressive Spatial Spectral Estimates," Economics Discussion Papers 14458, University of Essex, Department of Economics.
    13. Papailias, Fotis & Fruet Dias, Gustavo, 2015. "Forecasting long memory series subject to structural change: A two-stage approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1056-1066.
    14. Mituaki Huzii, 1977. "On a spectral estimate obtained by an autoregressive model fitting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 415-431, December.
    15. Younus, Dr. Sayera & Prince, Ehsanur Rauf, 2017. "An Analysis of the Impacts of Inflation, Trade Openness, and Exchange Rate on Foreign Direct Investment in Bangladesh and some Selected Emerging Countries," MPRA Paper 122190, University Library of Munich, Germany.
    16. Jentsch, Carsten & Meyer, Marco, 2021. "On the validity of Akaike’s identity for random fields," Journal of Econometrics, Elsevier, vol. 222(1), pages 676-687.
    17. Mohammad Mazharul Islam & Mohammad Nazrul Islam Mondal & Haitham Khoj, 2023. "Effects of Health Factors on GDP Growth: Empirical Evidence from Saudi Arabia," Sustainability, MDPI, vol. 15(11), pages 1-22, May.

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