Estimation of the Innovation Generalized Variance of a Multivariate Stationary Time Series.

摘要

Recently there has been renewed interest in the nonparametric estimate of the innovation variance of a stationary time series. Empirical evidence has shown that some smoothing of the periodogram improves the estimate. This paper attempts to clarify the smoothing question and extends the results to the estimation of the innovation generalized variance of a multivariate stationary time series. (Author)