Efficient Estimation for the Parameters of a Process with Rational Spectrum
Let X be a real valued random process with discrete time, whose distributions Pθ depends on the parameter θ ɛ θ, where θ is a subset of ℝk. Assume that the joint distribution of the observations X1…XN under Pθ has a density Fθ, N(x1…xN) with respect to Lebesgue measure on ℝN.
KeywordsInformation Matrix Efficient Estimation Stationary Gaussian Process Asymptotic Covariance Matrix Rational Spectrum
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