dc.creatorMentz, Raúl Pedro
dc.creatorViollaz, Aldo J.
dc.creatorMartinez, Carlos Ismael
dc.date.accessioned2020-03-27T22:29:45Z
dc.date.accessioned2022-10-15T06:32:47Z
dc.date.available2020-03-27T22:29:45Z
dc.date.available2022-10-15T06:32:47Z
dc.date.created2020-03-27T22:29:45Z
dc.date.issued2003-12
dc.identifierMentz, Raúl Pedro; Viollaz, Aldo J.; Martinez, Carlos Ismael; On confidence bands for time series problems in the time and frequency domains; Institute of Mathematical Statistics; Brazilian Journal Of Probability And Statistics; 17; 2; 12-2003; 179-211
dc.identifier0103-0752
dc.identifierhttp://hdl.handle.net/11336/101206
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/4355704
dc.description.abstractThe construction of (asymptotic) simultaneous confidence bands for some time series problems is studied, typically for the sample autocorrelogram and windowed spectral density estimate. The following approaches are explored: (1) To use the close-form results available in the literature; (2) To use the asymptotic independence of the sample quantities to derive new procedures; (3) To resort to inequalities. As expected, the bands turn out being wider than those frequently encountered in the literature, based on point-by-point confidence intervals. Numerical values of the necessary constants are given for selected values of the joint confidence coefficient and various numbers of sample quantities. The use of confidence sets of non-uniform width is also briefly explored. Monte Carlo simulations are presented, for problems in the time and in the frequency domains.
dc.languageeng
dc.publisherInstitute of Mathematical Statistics
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://www.jstor.org/stable/43601033
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectsimultaneous confidence bands
dc.subjectAutocorrelogram
dc.subjectWindowed spectral density estimate
dc.subjectAsymptotic independence
dc.subjectBonferroni inequality
dc.titleOn confidence bands for time series problems in the time and frequency domains
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion


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