Contiguity of the Whittle measure for a Gaussian time series
高斯时间序列中 Whittle 测度的相互毗连性
For a stationary time series, Whittle constructed a likelihood for the spectral density based on the approximate independence of the discrete Fourier transforms of the data at certain frequencies. Whittle's likelihood has been widely used in the literature for constructing estimators. In this paper, we show that, for a Gaussian time series, the Whittle measure is mutually contiguous with the actual distribution of the data. As a consequence, most asymptotic properties of…