Estimation of Parameters by Means of P. Whittle’s Method

  • K. Dzhaparidze
Part of the Springer Series in Statistics book series (SSS)


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.


Spectral Density Gaussian Process Maximum Likelihood Estimator Linear Process Gaussian Case 
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Copyright information

© Springer-Verlag New York Inc. 1986

Authors and Affiliations

  • K. Dzhaparidze
    • 1
  1. 1.Mathematisch CentrumAmsterdamThe Netherlands

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