Estimation of Parameters by Means of P. Whittle’s Method
- 480 Downloads
Let Xt, t = …, -1,0,1, … be a Gaussian process with zero expectation and spectral density f depending on an unknown vector-valued parameter θ so that f = fθ, θ ∈ θ, where θ is a subset in Rp. Assume furthermore, that it is required to estimate the value of the unknown parameter θ based on a sequence of observations from the random process Xt, for t = 1, …, n.
KeywordsSpectral Density Gaussian Process Maximum Likelihood Estimator Linear Process Gaussian Case
Unable to display preview. Download preview PDF.