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.
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© 1986 Springer-Verlag New York Inc.
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Dzhaparidze, K. (1986). Estimation of Parameters by Means of P. Whittle’s Method. In: Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-4842-2_3
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DOI: https://doi.org/10.1007/978-1-4612-4842-2_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4612-9325-5
Online ISBN: 978-1-4612-4842-2
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