ASYMPTOTIC SIMULTANEOUS CONFIDENCE BANDS FOR AUTOREGRESSIVE SPECTRAL DENSITY |
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Authors: | Ladislav Tomáek |
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Affiliation: | Institute of Hygiene and Epidemiology, Prague |
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Abstract: | Abstract. On the basis of the asymptotic behaviour of autoregressive parameter estimates, the properties of autoregressive spectral density estimates are deduced. The simultaneous confidence bands for the spectra are derived using Šidák's inequality. Simulation experiments are used to illustrate the quality of the derived confidence bands. |
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Keywords: | Autoregressive spectral density simultaneous confidence bands |
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