Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality

DOI10.1016/0304-4149(91)90095-TzbMath0738.62083MaRDI QIDQ1177213

Margit Rösler, Rupert Lasser

Publication date: 26 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

convergence ratesorthogonal polynomialsspectral measureARMA processweakly stationary processasymptotically optimal estimatorsasymptotic MSEasymptotically optimal linear unbiased mean estimatorsexplicit forms for optimal linear unbiased estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) General second-order stochastic processes (60G12)

Related Items (3)

Comparison of the efficiency for mean estimators in time series ⋮ On the order of convergence in linear mean estimation of weakly stationary stochastic processes ⋮ On the esimation of covariance functions ofp_n-weakly stantionary processes¹

Cites Work

• Time series: theory and methods
• Géza Freud, orthogonal polynomials and Christoffel functions. A case study
• Orthogonal polynomials
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
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