ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS

DOI10.1111/j.1467-9892.1994.tb00195.xzbMath0794.62068OpenAlexW1968716792MaRDI QIDQ4299037

Yoshihide Kakizawa, Masanobu Taniguchi

Publication date: 8 September 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00195.x

zbMATH Keywords

derivativeToeplitz matrixasymptotic efficiencyasymptotic variancespectral densityGaussian stationary processCramér-Rao boundsample autocovariancesintegrals of the spectral density

Mathematics Subject Classification ID

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

Related Items (4)

Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Efficient nonparametric estimation of generalised autocovariances ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA ⋮ The generalised autocovariance function

Cites Work

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• The commutation matrix: Some properties and applications
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process

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