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Asymptotic inference in stationary Gaussian time-series

Published online by Cambridge University Press:  01 July 2016

Robert B. Davies
Robert B. Davies*
Affiliation:
DSIR, Wellington, N. Z.
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Abstract

Conditions are given for the family of distributions of a stationary, discrete-time, Gaussian, vector-valued time-series with covariance structure given up to a finite number of parameters to satisfy the asymptotic differentiability conditions introduced by Le Cam (1969).

Keywords

ASYMPTOTIC INFERENCECONTIGUITYFOURIER SERIESPERIODOGRAMSPECTRUMSTATIONARY GAUSSIAN TIME-SERIESTOEPLITZ MATRIX
Type
Research Article
Information
Advances in Applied Probability , Volume 5 , Issue 3 , December 1973 , pp. 469 - 497
Copyright
Copyright © Applied Probability Trust 1973 

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