On estimation of parameters of Gaussian stationary processes
- 1 September 1979
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 16 (3) , 575-591
- https://doi.org/10.2307/3213086
Abstract
In fitting a certain parametric family of spectral densitiesfθ(x) to a Gaussian stationary process with the true spectral density g (x), we propose two estimators ofθ, sayby minimizing two criteriaD1(·),D2(·) respectively, which measure the nearness offθ(x) to g (x). Then we investigate some asymptotic behavior ofwith respect to efficiency and robustness.Keywords
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