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A bootstrap-based approach for parameter and polyspectral density estimation of a non-minimum phase ARMA process.
- Source :
-
International Journal of Systems Science . Feb2015, Vol. 46 Issue 3, p418-428. 11p. - Publication Year :
- 2015
-
Abstract
- A bootstrap-based methodology is developed for parameter estimation and polyspectral density estimation in the case of the approximating model of the underlying stochastic process being non-minimum phase autoregressive-moving-average (ARMA) type, given a finite realisation of a single time series data. The method is based on a minimum phase/maximum phase decomposition of the system function together with a time reversal step for the parameter and polyspectral confidence interval estimation. Simulation examples are provided to illustrate the proposed method. [ABSTRACT FROM PUBLISHER]
Details
- Language :
- English
- ISSN :
- 00207721
- Volume :
- 46
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- International Journal of Systems Science
- Publication Type :
- Academic Journal
- Accession number :
- 98983172
- Full Text :
- https://doi.org/10.1080/00207721.2013.784444