Confidence intervals for spectral mean and ratio statistics

  title={Confidence intervals for spectral mean and ratio statistics},
  author={Xiaofeng Shao},
We propose a new method to construct confidence intervals for spectral mean and related ratio statistics of a stationary process, that avoids direct estimation of their asymptotic variances. By introducing a bandwidth, a self-normalization procedure is adopted and the distribution of the new statistic is asymptotically nuisance-parameter free. The bandwidth is chosen using information criteria and a moving average sieve approximation. Through a simulation study, we demonstrate good finite… CONTINUE READING

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