Maximum likelihood estimation of the spectral density parameter

DOI10.1007/BF00972219MaRDI QIDQ751140zbMATH OpenOpenAlexFDO

Authors R. R. Malyukyavichyus

Publication date 1988

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00972219

zbMATH Keywords

asymptotically efficientlimiting Gaussian distributionmaximum likelihood estimatorminimaxreal, zero-mean stationary Gaussian sequencespectral density

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• Asymptotic inference in stationary Gaussian time-series
• scientific article; zbMATH DE number 3936315 (Why is no real title available?)
• scientific article; zbMATH DE number 3622820 (Why is no real title available?)
• scientific article; zbMATH DE number 3353830 (Why is no real title available?)
• Statistical estimation of the multivariate parameter of spectral density. I

Cited in

(4)

• Asymptotically optimal estimation in misspecified time series models
• On the efficiency of estimators of a spectral density multivariate parameter
• Maximum Likelihood Estimation of the Non-Parametric FRF for Pulse-Like Excitations
• Frequency domain generalized empirical likelihood method

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