ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS

Yoshihide Kakizawa*, Masanobu Taniguchi

*この研究の対応する著者

研究成果: Article査読

3 被引用数 (Scopus)

抄録

Abstract. This paper deals with the asymptotic efficiency of the sample autocovariances of a Gaussian stationary process. The asymptotic variance of the sample autocovariances and the Cramer–Rao bound are expressed as the integrals of the spectral density and its derivative. We say that the sample autocovariances are asymptotically efficient if the asymptotic variance and the Cramer–Rao bound are identical. In terms of the spectral density we give a necessary and sufficient condition that they are asymptotically efficient. This condition is easy to check for various spectra.

本文言語English
ページ(範囲)303-311
ページ数9
ジャーナルJournal of Time Series Analysis
15
3
DOI
出版ステータスPublished - 1994 5月
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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