On asymptotic quasi-likelihood estimation

DOI10.1016/0304-4149(89)90089-6zbMath0684.62067MaRDI QIDQ1825572

Roger Gay, Christopher C. Heyde

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90089-6

zbMATH Keywords

Gaussian process; random field; long range dependence; asymptotic optimality; estimating functions; score function; quasi-likelihood estimators; smoothed periodograms; orthogonality properties; asymptotic confidence zones of minimum size; Asymptotic quasi-likelihood; Whittle procedure

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

62M99: Inference from stochastic processes

Related Items

Unnamed Item, ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM, Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence, On a class of minimum contrast estimators for fractional stochastic processes and fields, Parameter estimation of random fields with long-range dependence, On the efficiency of estimators of a spectral density multivariate parameter, On asymptotic optimality of estimating functions, On the Whittle estimators for some classes of continuous-parameter random processes and fields, On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields

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