A New Method for Estimating Spectral Parameters of a Stationary Regular Time Series
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Publication:4061821
DOI10.1137/1119009zbMath0305.62061OpenAlexW2038649116MaRDI QIDQ4061821
Publication date: 1974
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/1119009
Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)
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ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES ⋮ A limit theory for long-range dependence and statistical inference on related models ⋮ Peak-insensitive parametric spectrum estimation ⋮ Structural parameter estimation in power systems ⋮ Outlier detection for stationary time series ⋮ Spectral estimation of Hawkes processes from count data ⋮ A new approach to the problem of estimating spectral parameters of non- stationary time series models
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