Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/77197 
Erscheinungsjahr: 
1998
Schriftenreihe/Nr.: 
Technical Report No. 1998,29
Verlag: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Zusammenfassung: 
Two different estimation techniques for the spectrum of a nonstationary time series are compared empirically. Both of them are assuming a time-dependent autoregressive (AR-) model for the data. The first estimation technique used is the Frequency State Dependent Model (FSDM-) technique (Schmitz and Urfer, 1997), a modification of the well known Kalman-filter approach. The FSD-Model is based on Priestleys SD-Models for the analysis of nonstationary time series (e.g.,Priestley, 1988) . An alternative approach for estimating AR-parameters of nonstationary time series was proposed by Tsatsannis and Giannkis (1993). The basic idea is to directly decompose the time-dependent autoregressive parameters into their wavelet representation and to select suitable wavelet coefficients for reconstruction. In either case, Kitagawa's (1983) instantaneous spectrum is calculated to obtain the actual spectral estimates. Applied to empirical data, both approaches lead to similar spectral estimates. However, simulations show how crucial the selection of wavelet coefficients is when applying the latter technique.
Dokumentart: 
Working Paper

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