scientific article; zbMATH DE number 8227

zbMATH Open0744.62126MaRDI QIDQ3970925FDOQ3970925

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Publication date: 25 June 1992

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zbMATH Keywords

strong consistencyspectral densityToeplitz matricesYule-Walker estimatesalpha estimatesautoregressive stationary random sequenceminimization of asymptotic \(I\)- divergence rateRényi distance

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Inference from stochastic processes and spectral analysis (62M15)

Cited In (5)

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• Maximum likelihood principle and \(I\)-divergence: discrete time observations.
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