A MEAN SQUARED ERROR CRITERION FOR TIME-SERIES DATA WINDOWS
成果类型：
Article
署名作者：
HURVICH, CM
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.2307/2336598
发表日期：
1988
页码：
485490
关键词：
摘要：
A periodogram mean integrated squared error criterion is proposed for assessing the performance of time series data windows, or tapers. The criterion is evaluated numerically for several known autoregressive processes to determine the optimal amount of tapering in Turkey''s cosine window. It is found that tapering can be extremely beneficial if the spectrum contains sharp peaks. Also, in all cases studied, the optimal number of points tapered converges to a constant as the sample size increases. This result is at odds with the traditional strategy of tapering a fixed percentage of the data. Finally, a method is proposed for estimating the optimal degree of tapering on the basis of data from an unknown process. Some Monte Carlo evidence is presented to demonstrate the effectiveness of the proposed estimation technique.