Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality

R. Lasser; M. Rösler

doi:10.1016/0304-4149(91)90095-T

Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality

R. Lasser, M. Rösler

Helmholtz Zentrum München German Research Center for Environmental Health

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Optimal or asymptotically optimal linear unbiased mean estimators for a wide class of weakly stationary processes including ARMA processes are derived explicitly. Furthermore their convergence rates are given.

Original language	English
Pages (from-to)	279-293
Number of pages	15
Journal	Stochastic Processes and their Applications
Volume	38
Issue number	2
DOIs	https://doi.org/10.1016/0304-4149(91)90095-T
State	Published - Aug 1991
Externally published	Yes

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title = "Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality",

abstract = "Optimal or asymptotically optimal linear unbiased mean estimators for a wide class of weakly stationary processes including ARMA processes are derived explicitly. Furthermore their convergence rates are given.",

author = "R. Lasser and M. R{\"o}sler",

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AU - Rösler, M.

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JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

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Linear mean estimation of weakly stationary stochastic processes under the aspects of optimality and asymptotic optimality

Abstract

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