An asymptotically efficient estimate in time series analysis

DOI10.1090/qam/408149zbMath0271.62116OpenAlexW2562577543MaRDI QIDQ3214235

Richard A. Vitale

Publication date: 1973

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/qam/408149

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Asymptotic behavior of the variance of the best linear unbiased estimator for the mean of a discrete-time singular stationary process ⋮ On the order of convergence in linear mean estimation of weakly stationary stochastic processes ⋮ Sampling distribution for a class of estimators for nonregular linear processes

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