An asymptotically efficient estimate in time series analysis

DOI10.1090/QAM/408149MaRDI QIDQ3214235zbMATH OpenOpenAlexFDO

Authors Richard A. Vitale

Publication date 1973

Published in Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/qam/408149

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(3)

• Sampling distribution for a class of estimators for nonregular linear processes
• Asymptotic behavior of the variance of the best linear unbiased estimator for the mean of a discrete-time singular stationary process
• On the order of convergence in linear mean estimation of weakly stationary stochastic processes

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