On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model

DOI10.1007/s11253-016-1145-1zbMath1490.62167OpenAlexW2333553439MaRDI QIDQ1688160

V. V. Prykhod'ko, Alexander V. Ivanov

Publication date: 5 January 2018

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-016-1145-1

zbMATH Keywords

consistencyasymptotic normalitynonlinear regressioncontinuous timeWhittle minimum contrast estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15) General nonlinear regression (62J02)

Related Items (5)

Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model ⋮ Asymptotic properties of Ibragimov’s estimator for a parameter of the spectral density of the random noise in a nonlinear regression model ⋮ Robust estimation for continuous-time linear models with memory ⋮ On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models ⋮ Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model

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