Preliminary test estimation for spectra

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Abstract

For a general non-Gaussian stationary linear process, quasi-maximum likelihood estimation of a subset of the parameters of the spectral density is considered when the complementary subset is suspected to be superfluous. A preliminary test quasi-maximum likelihood estimator (q-MLE) of parameters is introduced and, in the light of its mean square error, is compared with the restricted and unrestricted q-MLE.

Original languageEnglish
Pages (from-to)1580-1587
Number of pages8
JournalStatistics and Probability Letters
Volume81
Issue number11
DOIs
Publication statusPublished - 2011 Nov 1

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Keywords

  • ARMA model
  • Preliminary test
  • Quasi-maximum likelihood estimator
  • Spectral density
  • Stationary linear process

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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