On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
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Publication:1984649
DOI10.1007/s11203-019-09206-zzbMath1436.62429arXiv1909.10457MaRDI QIDQ1984649
Alexander V. Ivanov, Igor V. Orlovskyi, Nikolai N. Leonenko
Publication date: 7 April 2020
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.10457
consistency; asymptotic normality; spectral density; least squares estimator; Whittle estimator; nonlinear regression model; Levitan polynomials; Lévy-driven linear noise process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
62J02: General nonlinear regression
60G65: Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes)
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Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model, Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model
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