Statistical estimation of the multivariate parameter of spectral density. I

DOI10.1007/BF01027188MaRDI QIDQ1124253zbMATH OpenFDO

Authors R. Yu. Bentkus, R. R. Malyukyavichyus

Publication date 1988

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

zbMATH Keywords

momentssemi-invariantslimiting Gaussian distributionasymptotic properties of Whittle statisticstationary in the broad sensestochastic process with uncorrelated increments

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• scientific article; zbMATH DE number 3353830 (Why is no real title available?)
• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
• Asymptotic inference in stationary Gaussian time-series
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• Estimation and information in stationary time series
• On the Problem of the Equivalence of Probability Measures Corresponding to Stationary Gaussian Processes

Cited in

(16)

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• Maximum likelihood estimation of the spectral density parameter
• On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
• Minimum contrast estimation of random processes based on information of second and third orders
• Estimation of spectral densities with multiplicative parameter
• Characteristics of estimation of spectral width of random signal with unknown value of spectral density
• Statistical inference using higher-order information
• Statistical problems related to irrational rotations
• Statistical estimation of multidimensional parameter of spectral density. II
• On the Whittle estimators for some classes of continuous-parameter random processes and fields
• Spectral representations for random densities
• Mean-square consistency of the \(f\)-truncated \(M^2\)-periodogram
• On the efficiency of estimators of a spectral density multivariate parameter
• Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence

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