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  • Search: subject:"Spectral Density Function"
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Year of publication
Subject
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Spectral density function 6 spectral density function 6 Spectral Density Function 3 Time series analysis 3 Prediction 2 Zeitreihenanalyse 2 canonical factorization 2 discrete wavelet transform 2 panel data model 2 signal extraction 2 strong dependence 2 : C22: C52 1 ARMA model 1 ARMA-Modell 1 Anisotropic Random Fields 1 Auto bicorrelations 1 Autocorrelation functions 1 Autoregressive spectral analysis 1 Bandwidth selections 1 Bayesian inference 1 Bispectral density 1 Center autocorrelation 1 Computer algebra systems 1 Discrete Fourier Transform 1 Extremes 1 Floquet multiplier 1 Fractional Brownian Fields 1 Generalised Pareto distribution 1 HAC estimates 1 Ill-posed problems 1 Induction motor 1 Intrinsically Stationary Random Fields 1 Kernel-based test 1 Load history 1 Load history reconstruction 1 Long-memory process 1 Long-range dependence 1 Long-run neutrality 1 Markov Chain 1 Memory parameters 1
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Online availability
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Undetermined 10 Free 7
Type of publication
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Article 10 Book / Working Paper 8
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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Undetermined 15 English 3
Author
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Chen, Wen-Den 2 Hidalgo, Javier 2 Nanamiya, Kei 2 Yajima, Yoshihiro 2 BHATTACHARYYA, R. 1 Court, Richard S. 1 Donkers, A.C.D. 1 Faghih, Ali 1 Faghih, Nezameddin 1 Fan, Y. 1 Hassani, Hossein 1 Hu, Minghui 1 Lee, J. 1 Lee, Jin 1 Leemis, Lawrence 1 Leonenko, Nikolai 1 Leung, Pak Sing 1 Li, Y. 1 MUKHOPADHYAY, B. 1 Matsuda, Yassumasa 1 Melenberg, Bertrand 1 Patterson, Kerry 1 Perron, Pierre 1 Pratumnopharat, Panu 1 Psaradakis, Zacharias 1 Ren, Linxia 1 Shao, Huihe 1 Sisson, S.A. 1 Webb, Keith 1 Yajima, Y. 1
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Institution
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Department of Economics, Boston University 1 Institute of Economic Research, Hitotsubashi University 1 London School of Economics (LSE) 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 Tilburg University, Center for Economic Research 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Computational Economics 2 Journal of Applied Statistics 2 Physica A: Statistical Mechanics and its Applications 2 Advances in Complex Systems (ACS) 1 Boston University - Department of Economics - Working Papers Series 1 Computational Statistics & Data Analysis 1 Data science and service research discussion paper 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Econometric Reviews 1 Global COE Hi-Stat Discussion Paper Series 1 Global COE Hi-Stat discussion paper series 1 LSE Research Online Documents on Economics 1 MPRA Paper 1 Renewable Energy 1 STICERD - Econometrics Paper Series 1
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Source
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RePEc 16 ECONIS (ZBW) 2
Showing 11 - 18 of 18
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On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
Perron, Pierre; Ren, Linxia - Department of Economics, Boston University - 2010
It has been argued that estimating the spectral density function of a stationary stochastic process at the zero … estimation problem for the long-run variance, using the true value of the spectral density function at frequency zero leads to …
Persistent link: https://www.econbiz.de/10010779462
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Prediction and signal extraction of strong dependent processess in the frequency domain
Hidalgo, Javier; Yajima, Y. - London School of Economics (LSE) - 2001
nonparametric predictor based on the canonical factorization of the spectral density function given in Whittle (1963) and known as …
Persistent link: https://www.econbiz.de/10010745059
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Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain
Hidalgo, Javier; Yajima, Yoshihiro - Suntory and Toyota International Centres for Economics … - 2001
nonparametric predictor based on the canonical factorization of the spectral density function given in Whittle (1963) and known as …
Persistent link: https://www.econbiz.de/10005797491
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Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model
Chen, Wen-Den - In: Journal of Applied Statistics 35 (2008) 8, pp. 879-892
This article provides a procedure for the detection and identification of outliers in the spectral domain where the Whittle maximum likelihood estimator of the panel data model proposed by Chen [W.D. Chen, Testing for spurious regression in a panel data model with the individual number and time...
Persistent link: https://www.econbiz.de/10005458423
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Autoregressive spectral analysis based on statistical autocorrelation
Hu, Minghui; Shao, Huihe - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 139-146
The autoregressive method of spectral analysis is widely used in diverse areas for its solid theoretical foundation. Various aspects of its statistical performance have been investigated. People assume the times series xn to be samples from a zero-mean distribution whose variance remains...
Persistent link: https://www.econbiz.de/10010872837
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MODELING FLUCTUATIONS IN A MINIMAL PLANKTON MODEL: ROLE OF SPATIAL HETEROGENEITY AND STOCHASTICITY
BHATTACHARYYA, R.; MUKHOPADHYAY, B. - In: Advances in Complex Systems (ACS) 10 (2007) 02, pp. 197-216
The present paper studies the naturally observed phenomenon of population fluctuation in the context of a minimal plankton model. The analysis of the basic model reveals asymptotic stable behavior that is unable to explain any kind of population outburst. We introduce the nonuniform spatial...
Persistent link: https://www.econbiz.de/10005080921
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Testing for spurious regression in a panel data model with the individual number and time length growing
Chen, Wen-Den - In: Journal of Applied Statistics 33 (2006) 8, pp. 759-772
This article shows a test for the spurious regression problem in a panel data model with a growing individual number and time series length. In the estimation, tapers are used and the integrated order for the remainder disturbance is extended to a real number; at the same time, the spurious...
Persistent link: https://www.econbiz.de/10005639835
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Bootstrap-based evaluation of markov-switching time series models
Psaradakis, Zacharias - In: Econometric Reviews 17 (1998) 3, pp. 275-288
selected functionals (such as the spectral density function and moving empirical moments) obtained from the data with those of …
Persistent link: https://www.econbiz.de/10005511979
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