Preliminary test estimation for spectra

研究成果: Article

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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.

元の言語English
ページ(範囲)1580-1587
ページ数8
ジャーナルStatistics and Probability Letters
81
発行部数11
DOI
出版物ステータスPublished - 2011 11 1

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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