Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
- 1 February 1964
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of the Australian Mathematical Society
- Vol. 4 (3) , 363-384
- https://doi.org/10.1017/s1446788700024137
Abstract
Let {xt} (t = 0, ±1, ±2 …) be a stationary non-deterministic time series with E(x2t) < ∞, E(xt) = 0, and let its spectrum be continuous (strictly absolutely continuous) so that the spectral distribution function is the spectral density function. It is well known that {xt} then has a unique one-sided movingaverage representation where .Keywords
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