Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality (Q1177213): Difference between revisions

The authors consider the problem of estimating the mean of a weakly stationary process given its spectral measure. Using orthogonality polynomials, they derive explicit forms for optimal linear unbiased estimators of the mean in a wide class of such processes. They also derive forms for asymptotically optimal estimators of the mean of an ARMA process. In all cases, the asymptotic MSE is given.