Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality

DOI10.1016/0304-4149(91)90095-TzbMath0738.62083MaRDI QIDQ1177213

Rupert Lasser, Margit Rösler

Publication date: 26 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

convergence rates; orthogonal polynomials; spectral measure; ARMA process; weakly stationary process; asymptotically optimal estimators; asymptotic MSE; asymptotically optimal linear unbiased mean estimators; explicit forms for optimal linear unbiased estimators

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

60G12: General second-order stochastic processes

Related Items

Comparison of the efficiency for mean estimators in time series, On the order of convergence in linear mean estimation of weakly stationary stochastic processes, On the esimation of covariance functions ofp_n-weakly stantionary processes¹

Cites Work

• Time series: theory and methods
• Géza Freud, orthogonal polynomials and Christoffel functions. A case study
• Orthogonal polynomials
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
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