A sieve method for the spectral density

DOI10.1214/aos/1176349652zbMath0591.62078OpenAlexW2065954163MaRDI QIDQ1074997

Ulf Grenander, Yunshyong Chow

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/1176349652

zbMATH Keywords

consistencyspectral density estimationmaximum likelihood methodstrongabsolutely continuous spectral densitylikelihood functionalreal stationary Gaussian stochastic sequencesieve type estimatorsToeplitz approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

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