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On An Optimality Property Of Whittle'S Gaussian Estimate Of The Parameter Of The Spectrum Of A Time Series

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  • Reg Kulperger

Abstract

. Whittle has obtained an optimality property of a method of estimation of the parameter of the spectrum. In this paper we present a proof in the vector parameter case. Gaussian estimation is a natural method to consider, based on finite Fourier transforms and periodograms.

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  • Reg Kulperger, 1985. "On An Optimality Property Of Whittle'S Gaussian Estimate Of The Parameter Of The Spectrum Of A Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(4), pages 253-259, July.
    • Handle: RePEc:bla:jtsera:v:6:y:1985:i:4:p:253-259
    DOI: 10.1111/j.1467-9892.1985.tb00413.x
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    Cited by:

    1. Kulperger, R. J., 1997. "On a property of the finite Fourier partial sums process," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 101-107, September.

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