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Abstract

1. Dahlhaus, R., 1984. Parameter estimation of stationary processes with spectra containing strong peaks. In: Robust and Nonlinear Time Series Analysis, Lecture Notes in Statistics 26,1- Franke, W. Häardle and D. Martin, Editors, Springer, New York, pp. 50–67.

The advantage of using data tapers in parameter estimation of stationary processes is investigated. Consistency and a central limit theorem for quasi maximum likelihood parameter estimates with tapered data are proved, and data tapers leading to asymptotically efficient parameter estimates are determined. Finally the results of a Monte Carlo study on Yule-Walker estimates with tapered data are presented. When the spectrum contains high peaks the spectrum at the other frequencies may be overestimated markedly, and thus masked. Tapering is introduced to avoid this leakage effect.

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