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Biometrika 1973 60(1):202-205; doi:10.1093/biomet/60.1.202
© 1973 by Biometrika Trust
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MISCELLANEA

Frequency domain estimation procedures for linear models

D. F. NICHOLLS

Australian National University

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.

Key Words: Time series • Mixed autoregressive-moving average model • Spectral density • Bandwidth


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