time-series

Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain

Junho Yang and Suhasini Subba Rao / 2022-01-06

Suppose \(\{X_t: t\in \mathbb{Z}\}\) is a second order stationary time series where \(c(r) = \text{cov}(X_{t+r},X_t)\) and \(f(\omega) = \sum_{r\in\mathbb{Z}}c(r)e^{ir\omega}\) are the corresponding autocovariance and spectral density function, respectively. For notational convenience, we assume the…