Journal of the Japan Statistical Society, Japanese Issue
Online ISSN : 2189-1478
Print ISSN : 0389-5602
ISSN-L : 0389-5602
SEVERAL ESTIMATORS OF THE AUTOCORRELATION BASED ON LIMITER ESTIMATING FUNCTIONS FOR A STATIONARY GAUSSIAN PROCESS
Nobuo InagakiMasao Kondo
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1980 Volume 10 Issue 1 Pages 1-15

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Abstract
We discuss the estimation of the autocorrelation based on limiter estimating functions for a stationary Gaussian process having the representation of an infinite moving average. Several new estimators are proposed and their asymptotic distributions are obtained, whose asymptotic variances are written down by using Hermite polynomials.
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