| BOOTSTRAP MAXIMUM LIKELIHOOD ESTIMATION OF THE PARAMETER IN SPECTRAL DENSITY OF STATIONARY PROCESSES |
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| 引用本文： | 于丹. BOOTSTRAP MAXIMUM LIKELIHOOD ESTIMATION OF THE PARAMETER IN SPECTRAL DENSITY OF STATIONARY PROCESSES[J]. 应用数学学报(英文版), 1996, 12(3): 225-233. DOI: 10.1007/BF02011888 |
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| 作者姓名： | 于丹 |
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| 作者单位： | Institute of Systems Science，Chinese Academy of Sciences，Beijing 100080，China |
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| 摘 要： | ＢＯＯＴＳＴＲＡＰ ＭＡＸＩＭＵＭＬＩＫＥＬＩＨＯＯＤＥＳＴＩＭＡＴＩＯＮＯＦＴＨＥＰＡＲＡＭＥＴＥＲＩＮＳＰＥＣＴＲＡＬＤＥＮＳＩＴＹＯＦＳＴＡＴＩＯＮＡＲＹ ＰＲＯＣＥＳＳＥＳＹＵＤＡＮ（于丹）（ＩｎｓｔｉｔｕｔｅｏｆＳｙｓｔｅｍｓＳｃｉｅｎｃｅ...
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| 收稿时间： | 1992-02-18 |
Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes |
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| Dan Yu. Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes[J]. Acta Mathematicae Applicatae Sinica, 1996, 12(3): 225-233. DOI: 10.1007/BF02011888 |
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| Authors: | Dan Yu |
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| Affiliation: | (1) Institute of Systems Science, Chinese Academy of Sciences, 100080 Beijing, China |
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| Abstract: | This paper is concerned with the estimation of parameters in spectral density of a stationary process. A new estimate of the parameter is proposed by using the bootstrap method. We call it the bootstrap maximum likelihood estimate (BMLE). In this paper, under suitable regularity conditions, the BMLE is shown to be consistent and asymptotically normal. |
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| Keywords: | Bootstrap maximum likelihood estimation spectral density stationary process |
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