An Estimating Method for Parametric Spectral Densities of Gaussian Time Series

DOI10.1111/1467-9892.00124zbMATH Open0924.62095OpenAlexW2083709271MaRDI QIDQ4258764FDOQ4258764

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

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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)

Cited In (6)

• Title not available (Why is that?)
• A superharmonic prior for the autoregressive process of the second-order
• Title not available (Why is that?)
• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model
• Superharmonic priors for autoregressive models
• Optimal estimation of power spectral density by means of a time-varying autoregressive ap\-proach.

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