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頁籤選單縮合
題 名 | Information Properties in Spectral Analysis of Stationary Time Series |
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作 者 | Jiang,Wei; Cheng,Shaochuan; Xi,Youmin; Wang,Shouyang; | 書刊名 | Statistica Sinica |
卷 期 | 10:1 2000.01[民89.01] |
頁 次 | 頁191-201 |
分類號 | 319.16 |
關鍵詞 | 微分幾何學; 譜分析; 平穩時間序列; ARMA model; Differential geometry; Fisher information; Information loss; Whittle estimator; |
語 文 | 英文(English) |
英文摘要 | In this paper, we investigate some information properties of parameter estimation in spectral analysis of stationary time series based on a geometrical framework. Stationary ARMA models are studied as a submanifold in the exponential family and the so-called Whittle estimator is analyzed in association with the embedded curvatures. Asymptotic behaviors such as information loss and bias of the estimator are shown to be dependent on the curvatures of this manifold. Simulation studies are performed to compare the estimation error in AR(1) models with the corresponding results in the time domain. |
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