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Fitting models to spectra using regression packages. (English) Zbl 0646.62078

Summary: Much time series analysis can be performed by using readily available regression packages. In this paper it is shown that several frequency domain estimation algorithms for commonly used time series models may be recast as (possibly iterative) least squares regressions. This approach is exemplified by the fitting of (i) ARMA models, (ii) the model described by P. Bloomfield, Biometrika 60, 217-226 (1973; Zbl 0261.62074), and (iii) a model of A. N. Kolmogorov for the spectrum of turbulence in a fluid.

MSC:

62M15 Inference from stochastic processes and spectral analysis
65C99 Probabilistic methods, stochastic differential equations
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65K10 Numerical optimization and variational techniques

Citations:

Zbl 0261.62074
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