Maximum likelihood estimation of the spectral density parameter

DOI10.1007/BF00972219zbMath0714.62091OpenAlexW2048124112MaRDI QIDQ751140

R. R. Malyukyavichyus

Publication date: 1988

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00972219

zbMATH Keywords

minimaxmaximum likelihood estimatorspectral densityasymptotically efficientlimiting Gaussian distributionreal, zero-mean stationary Gaussian sequence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

On the efficiency of estimators of a spectral density multivariate parameter ⋮ Asymptotically optimal estimation in misspecified time series models

Cites Work

• Statistical estimation of the multivariate parameter of spectral density. I
• Asymptotic inference in stationary Gaussian time-series
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