Asymptotics of minimax mean-square risk of statistical estimators of spectral density parameters

DOI10.1007/BF00971914zbMath0646.62075OpenAlexW1996313760MaRDI QIDQ1104007

R. R. Malyukyavichyus

Publication date: 1986

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00971914

zbMATH Keywords

maximum likelihood estimatorspectral densityasymptotically minimax estimatormean square riskreal zero mean Gaussian time-seriesuniform asymptotic normality condition

Mathematics Subject Classification ID

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

Related Items (1)

The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density

Cites Work

• Asymptotic inference in stationary Gaussian time-series
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