Alternative models for stationary stochastic processes

P. M. Robinson

Stochastic Processes and their Applications, 1978, vol. 8, issue 2, 141-152

Abstract: We consider some parametric spectral estimators that can be used in a wide range of situations. Assuming the existence of fourth moments, we establish rates of convergence of the estimators, and a central limit theorem.

Keywords: spectral; density; maximum; likelihood; rates; of; convergence; central; limit; theorem (search for similar items in EconPapers)
Date: 1978
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Citations: View citations in EconPapers (18)

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