Weighted least squares estimators on the frequency domain for the parameters of a time series

DOI10.1214/aos/1176350963zbMath0649.62091OpenAlexW1996202261MaRDI QIDQ1105961

Shean-Tsong Chiu

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350963

zbMATH Keywords

cumulantstime seriesGaussian processspectrumperiodogramstrong consistencyweighted least squares estimationasymptotically efficient estimateiteratively reweighted procedure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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