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Sequential Estimation for a Functional of the Spectral Density of a Gaussian Stationary Process

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  • Takayuki Shiohama
  • Masanobu Taniguchi

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  • Takayuki Shiohama & Masanobu Taniguchi, 2001. "Sequential Estimation for a Functional of the Spectral Density of a Gaussian Stationary Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 142-158, March.
    • Handle: RePEc:spr:aistmt:v:53:y:2001:i:1:p:142-158
    DOI: 10.1023/A:1017976706781
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    References listed on IDEAS

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    1. Dahlhaus, Rainer, 1988. "Empirical spectral processes and their applications to time series analysis," Stochastic Processes and their Applications, Elsevier, vol. 30(1), pages 69-83, November.
    2. Fakhrezakeri, I. & Lee, S. Y., 1993. "Sequential Estimation of the Mean Vector of a Multivariate Linear Process," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 196-209, November.
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