Finite-parameter approximations to frequency response function
Robinson, Peter
(1977)
Finite-parameter approximations to frequency response function
Communications in Statistics - Theory and Methods, 6 (7).
pp. 661-677.
ISSN 0361-0926
We consider estimation of the frequency response function, β~(λ), between two discrete time series, over a subset of the sampling frequencies. We approximate β~(λ) be a linear combination of continuous, complex functions of λ, with unknown coefficients. The aim is to provide approximations that are parsimonious in parameters and appropriate to the circumstances.
| Item Type | Article |
|---|---|
| Keywords | Fourier methods,lagged regression,time series models |
| Departments | Economics |
| DOI | 10.1080/03610927708827523 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1121 |