ESTIMATING THE NUMBER OF TERMS IN A SINUSOIDAL REGRESSION

Journal of Time Series Analysis - Tập 10 Số 1 - Trang 71-75 - 1989
Barry G. Quinn1
1#N##TAB##TAB##TAB##TAB# University of Newcastle, Australia#N##TAB##TAB##TAB#

Tóm tắt

Abstract. A procedure based on the automatic information criterion procedure of Akaike is presented for estimating the number of sinusoidal terms present in a time series. The procedure is shown to produce a strongly consistent estimator.

Từ khóa


Tài liệu tham khảo

10.1007/BF02532251

10.1007/BF02506337

10.1016/0047-259X(83)90017-9

10.1098/rspa.1929.0151

Hannan E. J., 1961, Testing for a jump in the spectral function, J. R. Statist. Soc., Ser B, 23, 394

Hannan E. J., 1979, The determination of the order of an autoregression, J. R. Statist. Soc., Ser. B, 41, 190

Quinn B. G., 1986, Time Series and Allied Processes, Papers in Honour of E. J. Hannan

10.1017/S1446788700025921

Walker G. T., 1914, Correlation in seasonal variation of weather. III. On the criterion for the reality of relationships or periodicities., Mem. Indian Meteorol. Dept., 21, 13

10.1007/BF03002861