On the order of convergence in linear mean estimation of weakly stationary stochastic processes

R. Lasser; M. Nießner

doi:10.1016/0304-4149(93)90100-I

On the order of convergence in linear mean estimation of weakly stationary stochastic processes

R. Lasser, M. Nießner

Helmholtz Zentrum München German Research Center for Environmental Health

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

1 Scopus citations

Abstract

The efficiency in estimating the mean of a weakly stationary process is investigated. Estimators M n λ are optimum provided the spectral density has a zero in t = 0 of order λ. Here we study the asymptotic behavior of M n λ in case the spectral density has a zero in t = 0 of order different from λ. In particular we prove that M n λ are optimum if λ is greater than this order.

Original language	English
Pages (from-to)	143-152
Number of pages	10
Journal	Stochastic Processes and their Applications
Volume	47
Issue number	1
DOIs	https://doi.org/10.1016/0304-4149(93)90100-I
State	Published - Aug 1993
Externally published	Yes

Keywords

estimation of the mean
orthogonal polynomials
weakly stationary processes

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10.1016/0304-4149(93)90100-I

Cite this

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abstract = "The efficiency in estimating the mean of a weakly stationary process is investigated. Estimators M n λ are optimum provided the spectral density has a zero in t = 0 of order λ. Here we study the asymptotic behavior of M n λ in case the spectral density has a zero in t = 0 of order different from λ. In particular we prove that M n λ are optimum if λ is greater than this order.",

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AU - Nießner, M.

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AB - The efficiency in estimating the mean of a weakly stationary process is investigated. Estimators M n λ are optimum provided the spectral density has a zero in t = 0 of order λ. Here we study the asymptotic behavior of M n λ in case the spectral density has a zero in t = 0 of order different from λ. In particular we prove that M n λ are optimum if λ is greater than this order.

KW - estimation of the mean

KW - orthogonal polynomials

KW - weakly stationary processes

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IS - 1

ER -

On the order of convergence in linear mean estimation of weakly stationary stochastic processes

Abstract

Keywords

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