Estimation of spectral densities with multiplicative parameter

DOI10.1023/A:1025895730348MaRDI QIDQ1415512zbMATH OpenOpenAlexFDO

Authors D. Massart

Publication date 4 December 2003

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1025895730348

zbMATH Keywords

asymptotic normalityconsistencydelta-methodminimum contrast estimators

Mathematics Subject Classification ID

Random fields (60G60) Inference from stochastic processes and spectral analysis (62M15) Random fields; image analysis (62M40)

Review text

Let \(\{Y(t)\), \(t\in[0,T]^n\}\) be a stationary random field with zero mean and spectral density \(f(\lambda)=\eta g(\lambda;\theta)\), where \(\eta\) and \(\theta\) are unknown parameters. The authors propose a two-step method for estimating the parameters. First, a minimum contrast estimator for \(\theta\) is constructed and then it is used for estimating \(\eta\). The consistency and asymptotic normality of the estimators are proved.

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(16)

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