An Estimating Method for Parametric Spectral Densities of Gaussian Time Series

DOI10.1111/1467-9892.00124MaRDI QIDQ4258764zbMATH OpenOpenAlexFDO

Authors Fumiyasu Komaki

Publication date 14 September 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00124

zbMATH Keywords

Kullback-Leibler divergencedifferential geometryspectral density estimationAR modelssecond order asymptotic theory

Mathematics Subject Classification ID

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

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• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model
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