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September, 1988 Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series
Shean-Tsong Chiu
Ann. Statist. 16(3): 1315-1326 (September, 1988). DOI: 10.1214/aos/1176350963

Abstract

A procedure for estimating the parameters of a time series is proposed. The estimate minimizes a criterion function which is the weighted sum of squares of the distances between the periodogram and the spectrum of the series. Under regularity conditions, the estimate is shown to be strongly consistent. The asymptotic distribution of the estimate is also obtained. It is shown that, for a Gaussian process, an asymptotically efficient estimate can be obtained by using an iteratively reweighted procedure.

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Shean-Tsong Chiu. "Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series." Ann. Statist. 16 (3) 1315 - 1326, September, 1988. https://doi.org/10.1214/aos/1176350963

Information

Published: September, 1988
First available in Project Euclid: 12 April 2007

zbMATH: 0649.62091
MathSciNet: MR959204
Digital Object Identifier: 10.1214/aos/1176350963

Subjects:
Primary: 62M10
Secondary: 62F10, 62M15

Rights: Copyright © 1988 Institute of Mathematical Statistics

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Vol.16 • No. 3 • September, 1988
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