On the order of convergence in linear mean estimation of weakly stationary stochastic processes

R. Lasser and Nie[beta]ner, M.

Stochastic Processes and their Applications, 1993, vol. 47, issue 1, 143-152

Abstract: The efficiency in estimating the mean of a weakly stationary process is investigated. Estimators are optimum provided the spectral density has a zero in t = 0 of order [lambda]. Here we study the asymptotic behavior of in case the spectral density has a zero in t = 0 of order different from [lambda]. In particular we prove that are optimum if [lambda] is greater than this order.

Keywords: weakly; stationary; processes; estimation; of; the; mean; orthogonal; polynomials (search for similar items in EconPapers)
Date: 1993
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