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On estimation of parameters of Gaussian stationary processes

Published online by Cambridge University Press:  14 July 2016

Masanobu Taniguchi*
Affiliation:
Hiroshima University
*
Postal address: Department of Applied Mathematics, Faculty of Engineering, Hiroshima University, Hiroshima, 730 Japan.

Abstract

In fitting a certain parametric family of spectral densities fθ (x) to a Gaussian stationary process with the true spectral density g (x), we propose two estimators of θ, say by minimizing two criteria D1 (·), D2(·) respectively, which measure the nearness of fθ (x) to g (x). Then we investigate some asymptotic behavior of with respect to efficiency and robustness.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1979 

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