Frequency domain estimation procedures for linear models

Nicholls, D. F.

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Frequency domain estimation procedures for linear models

Date

1973

Authors

Nicholls, D. F.

Abstract

SUMMARY: Frequency domain estimation procedures are considered for linear time series models. By means of comparison with a method of Hannan (1969), one procedure due to Durbin (1961) is shown to give estimates which are not fully efficient. The bias and the efficiency of the estimates obtained from a second procedure due to Durbin are shown to be dependent on the bandwidth over which the spectral density is estimated.