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Fitting Models to Spectra Using Regression Packages

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  • Murray A. Cameron
  • T. Rolf Turner

Abstract

Much time series analysis can be performed by using readily available regression packages. In this paper it is shown that several frequency domain estimation algorithms for commonly used time series models may be recast as (possibly iterative) least squares regressions. This approach is exemplified by the fitting of (i) ARMA models (ii) the model described by Bloomfield (1973) and (iii) a model of Kolmogorov (1941) for the spectrum of turbulence in a fluid.

Suggested Citation

  • Murray A. Cameron & T. Rolf Turner, 1987. "Fitting Models to Spectra Using Regression Packages," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(1), pages 47-57, March.
    • Handle: RePEc:bla:jorssc:v:36:y:1987:i:1:p:47-57
    DOI: 10.2307/2347844
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    Cited by:

    1. Pollock, D.S.G., 1991. "On the criterion function for arma estimation," Serie Research Memoranda 0074, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.
    3. Mohsen Pourahmadi, 2005. "Book Reviews," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 784-785, September.
    4. Tommaso Proietti & Alessandra Luati, 2013. "Generalised Linear Spectral Models," CEIS Research Paper 290, Tor Vergata University, CEIS, revised 03 Oct 2013.

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