Statistical estimation for stationary models with tapered data

DOI10.3103/S1068362321060030zbMATH Open1482.62095arXiv2105.06890OpenAlexW4205515689MaRDI QIDQ2116627FDOQ2116627

Artur Sahakian, M. S. Ginovyan

Publication date: 18 March 2022

Published in: Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Abstract: In this paper, we survey some recent results on statistical inference (parametric and nonparametric statistical estimation, hypotheses testing) about the spectrum of stationary models with tapered data, as well as, a question concerning robustness of inferences, carried out on a linear stationary process contaminated by a small trend. We also discuss some question concerning tapered Toeplitz matrices and operators, central limit theorems for tapered Toeplitz type quadratic functionals, and tapered Fej'er-type kernels and singular integrals. These are the main tools for obtaining the corresponding results, and also are of interest in themselves. The processes considered will be discrete-time and continuous-time Gaussian, linear or L'evy-driven linear processes with memory.

Full work available at URL: https://arxiv.org/abs/2105.06890

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zbMATH Keywords

robustnessspectral densitystationary processestapered dataparametric and nonparametric estimation

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

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Cited In (4)

• Asymptotic statistical properties of spectral estimates with different tapers for discrete time processes.
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Title not available (Why is that?)
• A functional limit theorem for tapered empirical spectral functions

Uses Software

• longmemo

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