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Contiguity of the Whittle Measure for a Gaussian Time Series

✍ Scribed by Nidhan Choudhuri, Subhashis Ghosal and Anindya Roy

Book ID
124304860
Publisher
Oxford University Press
Year
2004
Tongue
English
Weight
1011 KB
Volume
91
Category
Article
ISSN
0006-3444

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In a pioneering paper Whittle developed a formula for expressing Fisher's information matrix of multivariate time series models (cf. P. Whittle, J. Royal Statist Soc. B 15 (1953) 125-139). It is described as a function of the spectral density of the time series process. The existing relationship is