Spectral analysis for intrinsic time processes

DOI10.1016/J.SPL.2009.08.020MaRDI QIDQ1038430zbMATH OpenOpenAlexFDO

Authors Takahide Ishioka, Shunsuke Kawamura, Tomoyuki Amano, Masanobu Taniguchi

Publication date 18 November 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.08.020

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Kernel autocorrelogram for time-deformed processes

Cited in

(2)

• Empirical spectral processes and their applications to time series analysis
• Spectral Analysis of Basic TES Processes

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