Asymptotically efficient nonparametric estimation of functionals of a spectral density function

DOI10.1007/BF00776242MaRDI QIDQ1077836zbMATH OpenOpenAlexFDO

Authors I. A. Ibragimov, R. Z. Khas'minskiĭ

Publication date 1986

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00776242

zbMATH Keywords

functionalslower boundsprecision of nonparametric estimatorsspectral densitystationary Gaussian time series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

See the preview in Zbl 0586.62057.

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Cited in

(25)

• The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density
• A nonparametric estimator of a nonlinear functional of regression under a given plan
• On some problems of nonparametric estimation
• On Toeplitz type quadratic functionals of stationary Gaussian processes
• Asymptotic upper bounds for the risk of estimators of linear functionals of a spectral density function
• Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
• Local asymptotic normality for autoregression with infinite order
• Asymptotically optimal estimation in misspecified time series models
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Statistical estimation for stationary models with tapered data
• Statistical inference for stationary linear models with tapered data
• Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes
• Efficient estimation of spectral functionals for Gaussian stationary models
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• scientific article; zbMATH DE number 4026623 (Why is no real title available?)
• Efficient estimation of functionals of the spectral density of stationary Gaussian fields
• On estimating linear functional of the covariance function of a stationary process
• Robust estimation for continuous-time linear models with memory
• Error bounds for approximations of traces of products of truncated Toeplitz operators
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Efficient estimation of spectral functionals for continuous-time stationary models
• De-biased two-sample U-statistics with application to conditional distribution testing
• A note on approximations of traces of products of truncated Toeplitz matrices
• Limit theorems for Toeplitz quadratic functionals of continuous-time stationary processes
• Asymptotically efficient recursive estimation of a nonparametric signal

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