On the Estimation of the Spectral Parameters of a Gaussian Stationary Process with Rational Spectral Density
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://epubs.siam.org/doi/pdf/10.1137/1115059
Reference16 articles.
1. Estimation and information in stationary time series
2. Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
3. A strong limit theorem for Gaussian processes
4. On the Computation of the Likelihood Ratio for Gaussian Processes with a Rational Spectrum
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