A central limit theorem for stationary processes and the parameter estimation of linear processes

DOI10.1214/AOS/1176345696zbMath0484.62102OpenAlexW2033945032MaRDI QIDQ1163831

Masanobu Taniguchi, Yuzo Hosoya

Publication date: 1982

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345696

zbMATH Keywords

robustnesswhite noiseperiodogramautoregressive signalefficiency of Newton-Raphson iterationfitted spectral modelGaussian maximum likelihood estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35)

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