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Estimation and information in stationary time series

P. Whittle University Institute of Statistics, Uppsala

TBD mathscidoc:1701.332084

Arkiv for Matematik, 2, (5), 423-434, 1953.8
Section (1) is devoted to a discussion of the model-fitting problem, which finds its explicit solution in equation (1.13). In section (2) the maximum likelihood, (ML), estimates of the model parameters are investigated, and for the class of series considered shown to possess the same optimum properties as in the case of independent series. Next, the covariance matrix of the parameter estimates is expressed in terms of the spectral function of the generating process (eq. 3.7). The last section is concerned with certain working approximations to the ML statistics.
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@inproceedings{p.1953estimation,
  title={Estimation and information in stationary time series},
  author={P. Whittle},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170108203416973181893},
  booktitle={Arkiv for Matematik},
  volume={2},
  number={5},
  pages={423-434},
  year={1953},
}
P. Whittle. Estimation and information in stationary time series. 1953. Vol. 2. In Arkiv for Matematik. pp.423-434. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170108203416973181893.
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