ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES

Reg Kulperger

Journal of Time Series Analysis, 1985, vol. 6, issue 4, 253-259

Abstract: Abstract. Whittle has obtained an optimality property of a method of estimation of the parameter of the spectrum. In this paper we present a proof in the vector parameter case. Gaussian estimation is a natural method to consider, based on finite Fourier transforms and periodograms.

Date: 1985
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1985.tb00413.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:6:y:1985:i:4:p:253-259

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().