Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions

DOI10.1111/JTSA.12225MaRDI QIDQ2968464zbMATH OpenOpenAlexFDO

Authors Joao Jesus, R. E. Chandler

Publication date 16 March 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://discovery.ucl.ac.uk/id/eprint/1536681/

zbMATH Keywords

estimating functionrainfallsandwich estimatorspectral analysis

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(4)

• A Note on Whittle's Likelihood
• scientific article; zbMATH DE number 934446 (Why is no real title available?)
• The debiased Whittle likelihood
• Likelihood Inference for Possibly Nonstationary Processes via Adaptive Overdifferencing

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