Asymptotics of minimax mean-square risk of statistical estimators of spectral density parameters

DOI10.1007/BF00971914MaRDI QIDQ1104007zbMATH OpenOpenAlexFDO

Authors R. R. Malyukyavichyus

Publication date 1986

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00971914

zbMATH Keywords

asymptotically minimax estimatormaximum likelihood estimatormean square riskreal zero mean Gaussian time-seriesspectral densityuniform asymptotic normality condition

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• Asymptotic inference in stationary Gaussian time-series
• scientific article; zbMATH DE number 3936315 (Why is no real title available?)
• scientific article; zbMATH DE number 3581495 (Why is no real title available?)
• scientific article; zbMATH DE number 3622820 (Why is no real title available?)

Cited in

(17)

• Asymptotics of minimax risk estimates of distribution density in \(L_ 2\)
• Asymptotic properties of minimization estimators for time series parameters
• Optimal statistical estimators of spectral density in \(L^ 2\)
• The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density
• Asymptotic upper bounds for the risk of estimators of linear functionals of a spectral density function
• Asymptotics of minimax mean-square risk of statistical estimators of spectral density in the space \(L_ 2\)
• Estimation of the dominating frequency for stationary and nonstationary fractional autoregressive models
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• An Estimating Method for Parametric Spectral Densities of Gaussian Time Series
• Estimates with Asymptotically Uniformly Minimal d-Risk
• Asymptotic Minimax Risk for the White Noise Model on the Sphere
• Spectral-norm risk rates for multi-taper estimation of Gaussian processes
• Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters

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