On a class of minimum contrast estimators for Gegenbauer random fields

DOI10.1007/S11749-015-0428-4MaRDI QIDQ905098zbMATH OpenOpenAlexFDO

Authors Rosa M. Espejo, Andriy Olenko, Nikolai N. Leonenko, María D. Ruiz-Medina

Publication date 14 January 2016

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.04712

zbMATH Keywords

asymptotic normalityconsistencylong-range dependenceminimum contrast estimatorGegenbauer random field

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from spatial processes (62M30) Gaussian processes (60G15) Random fields (60G60)

Abstract: The article introduces spatial long-range dependent models based on the fractional difference operators associated with the Gegenbauer polynomials. The results on consistency and asymptotic normality of a class of minimum contrast estimators of long-range dependence parameters of the models are obtained. A methodology to verify assumptions for consistency and asymptotic normality of minimum contrast estimators is developed. Numerical results are presented to confirm the theoretical findings.

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Cited in

(9)

• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
• Asymptotic properties of Ibragimov's estimator for a parameter of the spectral density of the random noise in a nonlinear regression model
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• STATISTICAL ANALYSIS OF LONG-RANGE DEPENDENT RANDOM PROCESSES AND FIELDS
• Cyclical long memory: decoupling, modulation, and modeling
• Gegenbauer random fields
• Asymptotic normality of simultaneous estimators of cyclic long-memory processes
• Estimation methods for stationary Gegenbauer processes

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