Statistical estimation of the multivariate parameter of spectral density. I

DOI10.1007/BF01027188zbMATH Open0678.62091MaRDI QIDQ1124253FDOQ1124253

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

Publication date: 1988

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

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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)

Cites Work

• Estimation and information in stationary time series
• Asymptotic inference in stationary Gaussian time-series
• On the Problem of the Equivalence of Probability Measures Corresponding to Stationary Gaussian Processes
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• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
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• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
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Cited In (16)

• Mean-square consistency of the \(f\)-truncated \(M^2\)-periodogram
• Statistical inference using higher-order information
• On the efficiency of estimators of a spectral density multivariate parameter
• Minimum contrast estimation of random processes based on information of second and third orders
• Title not available (Why is that?)
• Statistical problems related to irrational rotations
• Statistical estimation of multidimensional parameter of spectral density. II
• Title not available (Why is that?)
• Characteristics of estimation of spectral width of random signal with unknown value of spectral density
• Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
• Maximum likelihood estimation of the spectral density parameter
• Title not available (Why is that?)
• On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
• Estimation of spectral densities with multiplicative parameter
• Spectral representations for random densities
• On the Whittle estimators for some classes of continuous-parameter random processes and fields

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