Whittle has proved that the least-squares estimator of a scalar parameter of the spectrum of a purely nondeterministic time series possesses a certain optimality property independently of the distribution of the residuals. In this paper we furnish a proof in full detail of the corresponding result for a vector parameter and also provide some examples which illustrate the application of the result.
Publié le : 1980-09-14
Classification:
Time-series,
least-squares,
estimation efficiency,
62M10
@article{1176345145,
author = {Kabaila, Paul V.},
title = {An Optimality Property of the Least-Squares Estimate of the Parameter of the Spectrum of a Purely Nondeterministic Time Series},
journal = {Ann. Statist.},
volume = {8},
number = {1},
year = {1980},
pages = { 1082-1092},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345145}
}
Kabaila, Paul V. An Optimality Property of the Least-Squares Estimate of the Parameter of the Spectrum of a Purely Nondeterministic Time Series. Ann. Statist., Tome 8 (1980) no. 1, pp. 1082-1092. http://gdmltest.u-ga.fr/item/1176345145/