On the efficiency of estimators of a spectral density multivariate parameter |
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| Authors: | R Maliukevičius |
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| Institution: | (1) Department of Applied Statistics, Institute of Mathematics and Informatics, Akademijos 4, 2600 Vilnius, Lithuania |
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| Abstract: | Asymptotic properties of the Whittle estimator are considered. The asymptotic efficiency in the minimax sense, as well as in the Bahadur sense, are proved. The asymptotic behavior of the Whittle estimator and the maximum likelihood estimator is compared. |
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| Keywords: | 62M15 62F12 |
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