On the frequency domain estimation of the innovation variance of a stationary univariate time series
平稳单变量时间序列新息方差的频域估计
The innovation variance σ2 of a linear stochastic time series model can be estimated using periodogram ordinates. However, since the periodogram ordinates as estimators of the corresponding spectrum ordinates can show appreciable small-sample bias, it is believed that the estimator of σ2 is biased. One way of reducing the small-sample bias in the periodogram ordinates is by tapering. In this paper an estimator of σ2 based on tapered time series is defined and evaluated…