Advertisement

Efficient Estimation for the Parameters of a Process with Rational Spectrum

  • Robert Azencott
  • Didier Dacunha-Castelle
Part of the Applied Probability book series (APPLIEDPROB, volume 2)

Abstract

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 X1XN under Pθ has a density Fθ, N(x1xN) with respect to Lebesgue measure on ℝN.

Keywords

Information Matrix Efficient Estimation Stationary Gaussian Process Asymptotic Covariance Matrix Rational Spectrum 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag New York Inc. 1986

Authors and Affiliations

  • Robert Azencott
    • 1
  • Didier Dacunha-Castelle
    • 1
  1. 1.Equipe de Recerche Associée au C.N.R.S. 532 Statistique Appliquée MathématiqueUniversité de Paris-SudOrsay CedexFrance

Personalised recommendations