On the estimation of the parameters of a power spectrum

Three methods of estimating the parameters of a power spectrum are analyzed. The three methods are shown to give consistent and, under certain conditions, asymptotically equivalent results. However, one method, based on an approximate likelihood analysis, is seen to be superior to the other two in some respects.

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Year of publication:	1979
Authors:	Rice, John
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 9.1979, 3, p. 378-392
Publisher:	Elsevier
Keywords:	Time series analysis spectral analysis maximum likelihood analysis parameter estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152995