Parameter estimation and hypothesis testing in stationary vector time series

DOI10.1016/S0167-7152(96)00131-9MaRDI QIDQ1380591zbMATH OpenFDO

Authors Yoshihide Kakizawa

Publication date 8 March 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(96)00131-9

zbMATH Keywords

disparity measurespectral density matricesstationary processes

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Alternative models for stationary stochastic processes
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• scientific article; zbMATH DE number 4078584 (Why is no real title available?)
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• On the applications of divergence type measures in testing statistical hypotheses
• On the estimation of the parameters of a power spectrum
• Weighted least squares estimators on the frequency domain for the parameters of a time series

Cited in

(5)

• Estimation of total time on test transforms for stationary observations
• A posteriori tests to validate dimension estimates from time series
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