On estimation of parameters of Gaussian stationary processes

DOI10.2307/3213086MaRDI QIDQ3207822zbMATH OpenOpenAlexFDO

Authors Masanobu Taniguchi

Publication date 1979

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213086

zbMATH Keywords

asymptotic efficiencyrobustnessspectral densityperiodogramGaussian stationary process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Gaussian processes (60G15) Robustness and adaptive procedures (parametric inference) (62F35)

Cited in

(13)

• FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS
• Mean-square estimation of nonlinear functionals via Kalman filtering
• Moment bounds for non-linear functionals of the periodogram
• Estimation of mis-specified long memory models
• Non-parametric estimation of the long-range dependence exponent for Gaussian processes
• A blockwise empirical likelihood method for time series in frequency domain inference
• Functional mixed effects wavelet estimation for spectra of replicated time series
• THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Hellinger distance estimation for nonregular spectra
• Asymptotically optimal estimation in misspecified time series models
• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• On selection of the order of the spectral density model for a stationary process

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