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This chapter examines the statistical parametric estimation of a vector spectral parameter for both discrete and continuous time linear models using tapered data. We focus on the Whittle method and demonstrate that, under broad regularity conditions on the model’s spectral density, the Whittle estimator based on tapered data is consistent and asymptotically normal. Additionally, we explore simplified Whittle estimators and robust estimation procedures for spectral parameters.

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Parametric Estimation: The Whittle Estimation Procedure

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  • 发表日期：

    2025年

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  • Mamikon S. Ginovyan

摘要

This chapter examines the statistical parametric estimation of a vector spectral parameter for both discrete and continuous time linear models using tapered data. We focus on the Whittle method and demonstrate that, under broad regularity conditions on the model’s spectral density, the Whittle estimator based on tapered data is consistent and asymptotically normal. Additionally, we explore simplified Whittle estimators and robust estimation procedures for spectral parameters.