期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2006
卷号：20
期号：1
页码：49-66
出版社：Brazilian Statistical Association
摘要：An estimator of the spectral density of a stationary time se-ries is obtained by fitting to the observations an autoregressive model (oftenincluding the estimation of its order), and computing with sample values thespectrum of the indicated model. In the present note we consider the cal-culation of simultaneous confidence bands, according to Newton and Pagano(1984). The procedure is illustrated by means of Monte Carlo simulations,for series generated by autoregressive mo dels or orders up to 5
关键词：Asymptotic properties; confidence bands; estimation of au-;toregressive order; Monte Carlo
