Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
复制标题
有理谱密度连续时间高斯平稳过程的参数估计
作者：
Pham
本文用极大似然法对具有零均值有理谱密度的连续时间平稳高斯过程进行了参数估计。它包括最小化类似于离散情况下残差平方和的东西。估计被证明是渐近正态和有效的。一个简单的计算过程也给出了构造估计。
The estimation of parameters in a continuous time Gaussian stationary process with zero mean and rational spectral density is achieved by an adaptation of the maximum likelihood method. It consists of minimizing something analogous to the sum of the squares of the residuals in the discrete case. The estimate is shown to be asymptotically normal and efficient. A simple computational procedure is also given to construct the estimate.