ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA

DOI10.1111/J.1467-9892.1981.TB00318.XzbMath0508.62079OpenAlexW2030327611MaRDI QIDQ4746696

William T. M. Dunsmuir

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1981.tb00318.x

zbMATH Keywords

time seriescentral limit theoremseasonal variationGaussian maximum likelihood estimationestimation of periodically varying meansvarying standard deviations

Mathematics Subject Classification ID

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

Cites Work

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• The asymptotic distribution of serial covariances
• On periodic and multiple autoregressions
• An approach to modeling seasonally stationary time series
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Vector linear time series models

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