Weighted Least Squares Estimators on the Frequency Domain for the Parameters of a Time Series

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.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1986
Accession Number
ADA455201

Entities

People

  • Shean-tsong Chiu

Organizations

  • Rice University

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Applied Mathematics
  • Estimators
  • Frequency
  • Frequency Domain
  • Information Operations
  • Mathematics
  • Military Research
  • Statistical Algorithms
  • Weighting Functions

Fields of Study

  • Mathematics

Readers

  • Statistical inference.