Asymptotic statistical properties of AR Spectral estimators for processes with mixed spectra

In this paper, the influence of a point spectrum on large sample statistics of the autoregressive (AR) spectral estimator is addressed. In particular, the asymptotic distributions of the AR coefficients, the innovations variance, and the spectral density estimator of a finite-order AR( ) model to a mixed spectrum process are presented. Various asymptotic results regarding AR modeling of a regular process with a continuous spectrum are arrived at as special cases of the results for the mixed spectrum setting. Finally, numerical simulations are performed to verify the analytical results.

• Type: Journal
• Year: 2002
• Where: TIT
• Authors: Soon-Sen Lau, Peter J. Sherman, Langford B. White
• Keywords: Mixed Spectrum, Mixed Spectrum Process, Spectral Density Estimator, TIT 2002