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On estimation of parameters of Gaussian stationary processes

Published online by Cambridge University Press:  14 July 2016

Masanobu Taniguchi
Masanobu Taniguchi*
Affiliation:
Hiroshima University
*
∗ Postal address: Department of Applied Mathematics, Faculty of Engineering, Hiroshima University, Hiroshima, 730 Japan.
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Abstract

In fitting a certain parametric family of spectral densities fθ (x) to a Gaussian stationary process with the true spectral density g (x), we propose two estimators of θ, say by minimizing two criteria D1 (·), D2(·) respectively, which measure the nearness of fθ (x) to g (x). Then we investigate some asymptotic behavior of with respect to efficiency and robustness.

Keywords

GAUSSIAN STATIONARY PROCESSSPECTRAL DENSITYPERIODOGRAMASYMPTOTIC EFFICIENCYROBUSTNESS
Type
Research Papers
Information
Journal of Applied Probability , Volume 16 , Issue 3 , September 1979 , pp. 575 - 591
Copyright
Copyright © Applied Probability Trust 1979 

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References

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