On the efficiency of estimators of a spectral density multivariate parameter

DOI10.1007/BF00992615zbMATH Open0846.62068MaRDI QIDQ1897263FDOQ1897263

Publication date: 3 October 1996

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

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asymptotic efficiency spectral density maximum likelihood estimator stationary process Whittle estimator multivariate parameter

Mathematics Subject Classification ID

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

Cites Work

Quasi-Likelihood and Optimal Estimation, Correspondent Paper
Efficient parameter estimation for self-similar processes
Information and asymptotic efficiency in parametric-nonparametric models
Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
Estimation and information in stationary time series
Central limit theorems for quadratic forms in random variables having long-range dependence
Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
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Weighted least squares estimators on the frequency domain for the parameters of a time series
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On adaptive estimation in stationary ARMA processes
On asymptotic quasi-likelihood estimation
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Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
Adaptive estimates for autoregressive processes
Statistical estimation of the multivariate parameter of spectral density. I
Maximum likelihood estimation of the spectral density parameter
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Small sample effects in time series analysis: A new asymptotic theory and a new estimate
Nonparametric high resolution spectral estimation
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An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
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The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density
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Cited In (9)

Statistical estimation of multidimensional parameter of spectral density. II
A New Family of High-Resolution Multivariate Spectral Estimators
ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES
Asymptotic properties of minimization estimators for time series parameters
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
Title not available (Why is that?)

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