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Kabaila, Paul V.

An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series. (English) Zbl 0447.62097

Ann. Stat. 8, 1082-1092 (1980).
Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0447.62097

Cited in 10 Documents

MSC:

62M15 Inference from stochastic processes and spectral analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10 Point estimation

Keywords:

least-squares estimate; spectrum; purely nondeterministic time series; estimation efficiency; asymptotic property

Citations:

Zbl 0053.410
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