scientific article; zbMATH DE number 3936315

MaRDI QIDQ3707204zbMATH OpenFDO

Authors Kacha Dzhaparidze

Publication date 1981

zbMATH Keywords

maximum likelihoodARMA modelsstationary time seriesasymptotic optimalitylinear processasymptotically efficient estimationGaussian time seriesWhittle's methodasymptotically differentiable sequences of experimentslocally asymptotically normal families of distributionsTests of fit

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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• Local asymptotic normality for autoregression with infinite order
• Maximum likelihood estimation of the spectral density parameter
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