التفاصيل البيبلوغرافية
| العنوان: |
On confidence bands for time series problems in the time and frequency domains |
| المؤلفون: |
Mentz, Raúl Pedro, Viollaz, Aldo J., Martinez, Carlos Ismael |
| بيانات النشر: |
Institute of Mathematical Statistics |
| المجموعة: |
CONICET Digital (Consejo Nacional de Investigaciones Científicas y Técnicas) |
| مصطلحات موضوعية: |
simultaneous confidence bands, Autocorrelogram, Windowed spectral density estimate, Asymptotic independence, Bonferroni inequality, https://purl.org/becyt/ford/5.2, https://purl.org/becyt/ford/5 |
| الوصف: |
The construction of (asymptotic) simultaneous confidence bands for some time series problems is studied, typically for the sample autocorrelogram and windowed spectral density estimate. The following approaches are explored: (1) To use the close-form results available in the literature; (2) To use the asymptotic independence of the sample quantities to derive new procedures; (3) To resort to inequalities. As expected, the bands turn out being wider than those frequently encountered in the literature, based on point-by-point confidence intervals. Numerical values of the necessary constants are given for selected values of the joint confidence coefficient and various numbers of sample quantities. The use of confidence sets of non-uniform width is also briefly explored. Monte Carlo simulations are presented, for problems in the time and in the frequency domains. ; Fil: Mentz, Raúl Pedro. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas. Instituto de Investigaciones Estadísticas; Argentina ; Fil: Viollaz, Aldo J. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas. Instituto de Investigaciones Estadísticas; Argentina ; Fil: Martinez, Carlos Ismael. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas. Instituto de Investigaciones Estadísticas; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán; Argentina |
| نوع الوثيقة: |
article in journal/newspaper |
| وصف الملف: |
application/pdf |
| اللغة: |
English |
| تدمد: |
0103-0752 |
| Relation: |
info:eu-repo/semantics/altIdentifier/url/https://www.jstor.org/stable/43601033; http://hdl.handle.net/11336/101206; Mentz, Raúl Pedro; Viollaz, Aldo J.; Martinez, Carlos Ismael; On confidence bands for time series problems in the time and frequency domains; Institute of Mathematical Statistics; Brazilian Journal Of Probability And Statistics; 17; 2; 12-2003; 179-211; CONICET Digital; CONICET |
| الاتاحة: |
http://hdl.handle.net/11336/101206 |
| Rights: |
info:eu-repo/semantics/openAccess ; https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
| رقم الانضمام: |
edsbas.5FCF9AAB |
| قاعدة البيانات: |
BASE |