On the estimation of the parameters of a power spectrum

DOI10.1016/0047-259X(79)90095-2MaRDI QIDQ600205zbMATH OpenFDO

Authors Sumit K. Garg

Publication date 1979

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

parameter estimationconsistencylarge-sample propertiesspectral analysistime series analysismaximum likelihood analysisquadratic approximation

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Cites work

• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• A Moving Average Representation for Random Variables Covariance Stationary on a Finite Time Interval
• An analysis of cell membrane noise
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• Cross-spectral analysis of processes with stationary increments including the stationary G/G/\(\infty\) queue
• Estimation and information in stationary time series
• Linear processes and bispectra
• NOTES ON BIAS IN ESTIMATION
• Note on the Consistency of the Maximum Likelihood Estimate
• Some asymptotic results for the periodogram of a stationary time series

Cited in

(15)

• FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS
• Replicated INAR(1) processes
• Sampling properties of color independent component analysis
• Statistical aspects of earthquake source parameter estimation in the presence of signal generated noise
• Statistical inference for spatial statistics defined in the Fourier domain
• Modeling and forecasting persistent financial durations
• Nonuniqueness of best L^p-approximation for generalized convex functions by splines with free knots
• Long memory conditional random fields on regular lattices
• Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
• Parameter estimation and hypothesis testing in stationary vector time series
• Inference for random coefficient INAR(1) process based on frequency domain analysis
• Comparison of estimation and prediction methods for a zero-inflated geometric INAR(1) process with random coefficients
• Peak-insensitive parametric spectrum estimation
• Parameter estimation in low order fractionally differenced ARMA processes
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model

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