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March, 1982 A Central Limit Theorem for Stationary Processes and the Parameter Estimation of Linear Processes
Yuzo Hosoya, Masanobu Taniguchi
Ann. Statist. 10(1): 132-153 (March, 1982). DOI: 10.1214/aos/1176345696

Abstract

A central limit theorem is proved for the sample covariances of a linear process. The sufficient conditions for the theorem are described by more natural ones than usual. We apply this theorem to the parameter estimation of a fitted spectral model, which does not necessarily include the true spectral density of the linear process. We also deal with estimation problems for an autoregressive signal plus white noise. A general result is given for efficiency of Newton-Raphson iterations of the likelihood equation.

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Yuzo Hosoya. Masanobu Taniguchi. "A Central Limit Theorem for Stationary Processes and the Parameter Estimation of Linear Processes." Ann. Statist. 10 (1) 132 - 153, March, 1982. https://doi.org/10.1214/aos/1176345696

Information

Published: March, 1982
First available in Project Euclid: 12 April 2007

zbMATH: 0484.62102
MathSciNet: MR642725
Digital Object Identifier: 10.1214/aos/1176345696

Subjects:
Primary: 60F15
Secondary: 60G10, 60G35, 62M15

Rights: Copyright © 1982 Institute of Mathematical Statistics

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Vol.10 • No. 1 • March, 1982
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