期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2003
卷号：17
期号：2
页码：179-211
出版社：Brazilian Statistical Association
摘要：The construction of (asymptotic) simultaneous confidencebands for some time series problems is studied, typically for the sample au-tocorrelogram and windowed spectral density estimate. The following ap-proaches are explored: (1) To use the close-form results available in the lit-erature; (2) To use the asymptotic independence of the sample quantitiesto derive new procedures; (3) To resort to inequalities. As expected, thebands turn out being wider than those frequently encountered in the litera-ture, based on point-by-point confidence intervals. Numerical values of thenecessary constants are given for selected values of the joint confidence coef-ficient and various numbers of sample quantities. The use of confidence setsof non-uniform width is also brie.y explored. Monte Carlo simulations arepresented, for problems in the time and in the frequency domains
