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Titolo:
Information properties in spectral analysis of stationary time series
Autore:
Jiang, W; Cheng, SC; Xi, YM; Wang, SY;
Indirizzi:
Hong Kong Univ Sci & Technol, Dept Ind Engn & Engn Management, Hong Kong, Hong Kong Hong Kong Univ Sci & Technol Hong Kong Hong Kong , Hong Kong, Hong Kong Xian Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China Xian Jiao Tong Univ Xian Peoples R China 710049 710049, Peoples R China Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China Chinese Acad Sci Beijing Peoples R China 100080 100080, Peoples R China
Titolo Testata:
STATISTICA SINICA
fascicolo: 1, volume: 10, anno: 2000,
pagine: 191 - 201
SICI:
1017-0405(200001)10:1<191:IPISAO>2.0.ZU;2-E
Fonte:
ISI
Lingua:
ENG
Soggetto:
MODELS;
Keywords:
ARMA model; differential geometry; Fisher information; information loss; Whittle estimator;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
15
Recensione:
Indirizzi per estratti:
Indirizzo: Jiang, W Hong Kong Univ Sci & Technol, Dept Ind Engn & Engn Management, Hong Kong, Hong Kong Hong Kong Univ Sci & Technol Hong Kong Hong Kong ng, Hong Kong
Citazione:
W. Jiang et al., "Information properties in spectral analysis of stationary time series", STAT SINICA, 10(1), 2000, pp. 191-201

Abstract

In this paper, we investigate some information properties of parameter estimation in spectral analysis of stationary time series based on a geometrical framework. Stationary ARMA models are studied as a submanifold in the exponential family and the so-called Whittle estimator is analyzed in association with the embedded curvatures. Asymptotic behaviors such as informationloss and bias of the estimator are shown to be dependent on the curvaturesof this manifold. Simulation studies are performed to compare the estimation error in AR(1) models with the corresponding results in the time domain.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 25/01/20 alle ore 15:40:29