ON THE ORDER OF CONVERGENCE IN LINEAR MEAN ESTIMATION OF WEAKLY STATIONARY STOCHASTIC-PROCESSES

Authors
LASSER R NIESSNER M
Citation
R. Lasser et M. Niessner, ON THE ORDER OF CONVERGENCE IN LINEAR MEAN ESTIMATION OF WEAKLY STATIONARY STOCHASTIC-PROCESSES, Stochastic processes and their applications, 47(1), 1993, pp. 143-152
Citations number
7
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
47
Issue
1
Year of publication
1993
Pages
143 - 152
Database
ISI
SICI code
0304-4149(1993)47:1<143:OTOOCI>2.0.ZU;2-P
Abstract
The efficiency in estimating the mean of a weakly stationary process i s investigated. Estimators M(n)lambda are optimum provided the spectra l density has a zero in t = 0 of order lambda. Here we study the asymp totic behavior of M(n)lambda in case the spectral density has a zero i n t = 0 of order different from lambda. In particular we prove that M( n)lambda are optimum if lambda is greater than this order.