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Power spectrum estimation through autoregressive model fitting

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  • Hirotugu Akaike
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    File URL: http://hdl.handle.net/10.1007/BF02532269
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 21 (1969)
    Issue (Month): 1 (December)
    Pages: 407-419

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    Handle: RePEc:spr:aistmt:v:21:y:1969:i:1:p:407-419

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    1. Hirotugu Akaike, 1969. "A method of statistical identification of discrete time parameter linear systems," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 225-242, December.
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    Cited by:
    1. Mituaki Huzii, 1977. "On a spectral estimate obtained by an autoregressive model fitting," Annals of the Institute of Statistical Mathematics, Springer, vol. 29(1), pages 415-431, December.
    2. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
    3. Takashi Kano & James M. Nason, 2009. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Model," CARF F-Series CARF-F-151, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Jirak, Moritz, 2014. "Simultaneous confidence bands for sequential autoregressive fitting," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 130-149.
    5. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
    6. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.).
    7. repec:wyi:journl:002213 is not listed on IDEAS

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