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

Covariance Resid Autocorrelation 

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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

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