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

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

Abstract

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.

Keywords

Spectral Density Gaussian Process Maximum Likelihood Estimator Linear Process Gaussian Case 
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.

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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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