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7 aug. 1953 Estimation and information in stationary time series
P. Whittle
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Ark. Mat. 2(5): 423-434 (7 aug. 1953). DOI: 10.1007/BF02590998

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.

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P. Whittle. "Estimation and information in stationary time series." Ark. Mat. 2 (5) 423 - 434, 7 aug. 1953. https://doi.org/10.1007/BF02590998

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Published: 7 aug. 1953
First available in Project Euclid: 31 January 2017

zbMATH: 0053.41003
MathSciNet: MR0060797
Digital Object Identifier: 10.1007/BF02590998

Rights: 1952 © Swets & Zeitlinger B.V.

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Vol.2 • No. 5 • 7 aug. 1953
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