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Best Lag Window for Spectrum Estimation of Law Order MA Process

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  • Ali Sami Rashid
  • Mohammed Jabber Hawas Allami
  • Ahmed Kareem Mutasher

Abstract

In this article, we investigate spectrum estimation of law order moving average (MA) process. The main tool is the lag window which is one of the important components of the consistent form to estimate spectral density function (SDF). We show, based on a computer simulation, that the Blackman window is the best lag window to estimate the SDF of MA(1) and MA(2) at the most values of parameters βi and series sizes n, except for a special case when β = −1 and n ≥ 40 in MA(1). In addition, the Hanning–Poisson window appears as the best to estimate the SDF of MA(2) when β1 = β2 = −0.5 and n ≥ 40.

Suggested Citation

  • Ali Sami Rashid & Mohammed Jabber Hawas Allami & Ahmed Kareem Mutasher, 2020. "Best Lag Window for Spectrum Estimation of Law Order MA Process," Abstract and Applied Analysis, John Wiley & Sons, vol. 2020(1).
    • Handle: RePEc:wly:jnlaaa:v:2020:y:2020:i:1:n:9352453
    DOI: 10.1155/2020/9352453
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    References listed on IDEAS

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