On the efficiency of estimators of a spectral density multivariate parameter

DOI10.1007/BF00992615MaRDI QIDQ1897263zbMATH OpenFDO

Authors R. R. Malyukyavichyus

Publication date 3 October 1996

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencyspectral densitymaximum likelihood estimatorstationary processWhittle estimatormultivariate parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(10)

• A New Family of High-Resolution Multivariate Spectral Estimators
• Minimax estimation for time series models
• scientific article; zbMATH DE number 4197208 (Why is no real title available?)
• ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES
• Statistical estimation of multidimensional parameter of spectral density. II
• Modified Whittle estimation of multilateral models on a lattice
• The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density
• On the asymptotic efficiency in the Bahadur sense of spectral density multidimensional parameter estimators
• Moderate deviations of marginal maximum likelihood estimator for \(m\)-dependent processes
• Asymptotic properties of minimization estimators for time series parameters

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