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dc.contributor.authorChiu, Shean-Tsong
dc.date.accessioned 2018-06-18T17:27:11Z
dc.date.available 2018-06-18T17:27:11Z
dc.date.issued 1986-09
dc.identifier.citation Chiu, Shean-Tsong. "Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series." (1986) https://hdl.handle.net/1911/101608.
dc.identifier.urihttps://hdl.handle.net/1911/101608
dc.description.abstract A procedure for estimating the parameters of a time series is proposed. The estimate minimizes a criterion function which is the weighted sum of squares of the distances between the periodograms and the spectrum of the series. Under mild conditions, the estimate is shown to be strongly consistent. The asymptotic distribution of the estimate is also obtained. With a proper choice of weighting function, the estimate has the same asymptotic distribution as the one for the maximum likelihood estimate. Simulations were carried out to evaluate the performance of the estimate.
dc.format.extent 21 pp
dc.title Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series
dc.type Technical report
dc.date.note September 1986
dc.identifier.digital TR86-22
dc.type.dcmi Text


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