ueber die schaetzung von spektraldichten

abstract: the investigation of spectral densities has become an indispensible part of time series analysis which in turn is one of the most common tools of quantitative social science. this paper concentrates on the highlights of current research inspectral estimation and does not intend to give a full survey of the known methods. following an overview of foundations, the second part presents two methods of parametric inference, namely recursive and robust estimation. the third section deals with nonparametric procedures, in particular with some weighted covariance estimators; a new lag window is introduced which is optimal in the sense of mise. the algorithms described in this paper have been implemented by the authors at the institute of advanced studies. representative outputs are listed in appendix a while appendix b is devoted to ladder forms on which all specified recursions are based.