On the estimation of the parameters of a power spectrum

John Rice

Journal of Multivariate Analysis, 1979, vol. 9, issue 3, 378-392

Abstract: Three methods of estimating the parameters of a power spectrum are analyzed. The three methods are shown to give consistent and, under certain conditions, asymptotically equivalent results. However, one method, based on an approximate likelihood analysis, is seen to be superior to the other two in some respects.

Keywords: Time; series; analysis; spectral; analysis; maximum; likelihood; analysis; parameter; estimation (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (9)

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