Asymptotic properties of minimization estimators for time series parameters
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Publication:1067334
DOI10.1214/aos/1176346598zbMath0579.62080OpenAlexW2031535457MaRDI QIDQ1067334
Publication date: 1985
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176346598
convergencetime seriesfunctionsspectral densitiesprobability one boundsestimates of the number of parametersintegrals of kernelminimization estimatorsspectral estimators
Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)
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Minimum contrast estimation of random processes based on information of second and third orders ⋮ Identification of transfer function matrix using higher-order spectra ⋮ Identification of non-minimum phase transfer function using higher-order spectrum ⋮ Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes
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