On the estimation of a harmonic component in a time series with stationary dependent residuals

Abstract

Let observations (X1, X2, …, Xn) be obtained from a time series {Xt} such that where the ɛt are independently and identically distributed random variables each having mean zero and finite variance, and the gu(θ) are specified functions of a vector-valued parameter θ. This paper presents a rigorous derivation of the asymptotic distributions of the estimators of A, B, ω and θ obtained by an approximate least-squares method due to Whittle (1952). It is a sequel to a previous paper (Walker (1971)) in which a similar derivation was given for the special case of independent residuals where gu(θ) = 0 for u > 0, the parameter θ thus being absent.