Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain

DOI10.1214/21-AOS2055zbMath1486.62243arXiv2001.06966OpenAlexW3212452912MaRDI QIDQ2054529

Junho Yang, Suhasini Subba Rao

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.06966

zbMATH Keywords

discrete Fourier transformperiodogramsecond order stationary time seriesToeplitz inversebiorthogonal transformsquasi-likelihoods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Posterior consistency for the spectral density of non‐Gaussian stationary time series ⋮ Explicit formulas for the inverses of Toeplitz matrices, with applications ⋮ A prediction perspective on the Wiener–Hopf equations for time series ⋮ Higher‐order asymptotics of minimax estimators for time series ⋮ Spectral methods for small sample time series: A complete periodogram approach

Uses Software

• beyondWhittle

Cites Work

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