PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2010 | nr 2 | 18
Tytuł artykułu

Oversampling of stochastic processes

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of π radians per sample period. It is well known that, if data are sampled from a continuous process of which the maximum frequency exceeds the Nyquist value, then there will be a problem of aliasing. However, if the sampling is too rapid, then other problems will arise that will cause the ARMA estimates to be severely biased. The paper reveals the nature of these problems and it shows how they may be overcome.(original abstract)
Rocznik
Numer
Strony
18
Opis fizyczny
Twórcy
  • University of Leicester, United Kingdom
Bibliografia
  • Bry, G., and C. Boschan, (1971), Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, National Bureau of Economic Research.
  • Burrus, C.S., R.A. Gopinath and H. Guo, (1998), Introduction to Wavelets and Wavelet Transforms: A Primer, Prentice Hall, New Jersey.
  • Granger, C.W.J., (1966), The Typical Spectral Shape of an Economic Variable, Econometrica, 34, 150-161.
  • Haywood, J., and G. Tunnicliffe-Wilson, (1997), Fitting Time Series Models by Minimising Multistep-Ahead Errors: A Frequency Domain Approach, Journal of the Royal Statistical Society, Series B (Methodological), 59, 237-254.
  • Hodrick, R.J., and E.C. Prescott, (1980), Postwar U.S. Business Cycles: An Empirical Investigation, Working Paper, Carnegie-Mellon University, Pittsburgh, Pennsylvania.
  • Hodrick R.J., and E.C. Prescott, (1997), Postwar U.S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking, 29, 1-16.
  • Leser, C.E.V., (1961), A Simple Method of Trend Construction, Journal of the Royal Statistical Society, Series B, 23, 91-107.
  • Lyman, R.J., W.W. Edmonson, S. McCullough, and M. Rao (2000), The Predictability of Continuous-Time, Bandlimited Processes, IEEE Transaction of Signal Processing, 48. 311-315.
  • Morton, A.S., and G. Tunnicliffe-Wilson, (2004), A Class of Modified High-Order Autoregressive Models with Improved Resolution of Low Frequency Cycles, Journal of Time Series Analysis, 25, 235-250.
  • Mugler, D.H., (1990), Computationally-effcient Linear Prediction of a Band- Limited Signal and its Derivative, IEEE Transactions on Information Theory, IT-36, 589-596.
  • Pagan, A., (1997), Towards an Understanding of Some Business Cycle Characteristics, The Australian Economic Review, 30, 1-15.
  • Percival, D.B., and A.T. Walden, (1993), Spectral Analysis for Physical Applications: Multitaper and Conventional Techniques, Cambridge University Press, Cambridge.
  • Pollock, D.S.G., (1999), A Handbook of Time-Series Analysis, Signal Processing and Dynamics, Academic Press, London.
  • Pollock, D.S.G., (2009), Realisations of Finite-sample Frequency-selective Filters, Journal of Statistical Planning and Inference, 139, 1541-1558.
  • Proietti, T., (2008), Band Spectral Estimation for Signal Extraction, Economic Modelling, 25, 54-69.
  • Shannon, C.E., (1949), Communication in the Presence of Noise, Proceedings of the Institute of Radio Engineers, 37, 10-21. Reprinted in 1998, Proceedings of the IEEE, 86, 447-457.
  • Sims, C.A., (2010), Continuous and Discrete Time Models, pps. 60-67 in S.N. Durlauf and L.E. Blume, (eds.), Macroeconometrics and Time Series Analysis, Palgrave Macmillan, Basingstoke.
  • Slepian, D., (1983), Some Comments on Fourier Analysis, Uncertainty and Modeling, SIAM Review, 25, 379-393.
  • Wilson, G.T., (1969), Factorisation of the Covariance Generating Function of a Pure Moving Average Process, SIAM Journal of Numerical Analysis, 6, 1-7.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171231215

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.