Arkiv för Matematik

  • Ark. Mat.
  • Volume 2, Number 5 (1953), 423-434.

Estimation and information in stationary time series

P. Whittle

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Abstract

Section (1) is devoted to a discussion of the model-fitting problem, which finds its explicit solution in equation (1.13). In section (2) the maximum likelihood, (ML), estimates of the model parameters are investigated, and for the class of series considered shown to possess the same optimum properties as in the case of independent series. Next, the covariance matrix of the parameter estimates is expressed in terms of the spectral function of the generating process (eq. 3.7). The last section is concerned with certain working approximations to the ML statistics.

Article information

Source
Ark. Mat., Volume 2, Number 5 (1953), 423-434.

Dates
First available in Project Euclid: 31 January 2017

Permanent link to this document
https://projecteuclid.org/euclid.afm/1485893194

Digital Object Identifier
doi:10.1007/BF02590998

Mathematical Reviews number (MathSciNet)
MR0060797

Zentralblatt MATH identifier
0053.41003

Rights
1952 © Swets & Zeitlinger B.V.

Citation

Whittle, P. Estimation and information in stationary time series. Ark. Mat. 2 (1953), no. 5, 423--434. doi:10.1007/BF02590998. https://projecteuclid.org/euclid.afm/1485893194


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References

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