Hostname: page-component-cd9895bd7-fscjk Total loading time: 0 Render date: 2024-12-23T18:23:16.123Z Has data issue: false hasContentIssue false
  • English
  • Français

A note on Kendall's autoregressive series

Published online by Cambridge University Press:  14 July 2016

T. J. Brown  and
J. C. Hardin
T. J. Brown
Affiliation:
U.S. Army Air Mobility Research and Development Laboratory, Hampton, Virginia
J. C. Hardin
Affiliation:
U.S. Army Air Mobility Research and Development Laboratory, Hampton, Virginia
Get access Rights & Permissions [Opens in a new window]

Abstract

Realizations of the autoregressive series considered by Kendall are generated using both Gaussian and uniformly distributed random variables. Estimates of the autocorrelation and power spectrum of the process obtained from these realizations are compared with the theoretical expressions derived by Bartlett. Agreement is well within the theoretical variance.

Keywords

REGRESSION SERIESSPECTRAL ANALYSISESTIMATION
Type
Short Communications
Information
Journal of Applied Probability , Volume 10 , Issue 2 , June 1973 , pp. 475 - 478
Copyright
Copyright © Applied Probability Trust 1973 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bartlett, M. S. (1966) Stochastic Processes. Cambridge University Press, London.Google Scholar
Blackman, R. B. and Tukey, J. W. (1958) The Measurement of Power Spectra. Dover Publications, New York.Google Scholar
Kendall, M. G. (1946) Researches in Oscillatory Time Series. Cambridge University Press, London.Google Scholar