BOOTSTRAP CONFIDENCE BANDS FOR SPECTRA AND CROSS-SPECTRA

被引：23

作者：

POLITIS, DN ^{[1
]}

ROMANO, JP ^{[1
]}

LAI, TL ^{[1
]}

机构：

[1] STANFORD UNIV,DEPT STAT,STANFORD,CA 94305

来源：

IEEE TRANSACTIONS ON SIGNAL PROCESSING | 1992年 / 40卷 / 05期

关键词：

D O I：

10.1109/78.134482

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

A new nonparametric method for setting confidence intervals and confidence bands for spectra and cross-spectra of stationary weakly dependent time series is presented. The proposed methodology involves using a bootstrap resampling scheme that was recently developed for use in time series problems. A computing algorithm is provided, along with guidelines on its practical application. Finally, results of simulations with artificially generated data are shown as an illustration of the method's potential.

引用

页码：1206 / 1215

页数：10

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[2]

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[4]

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