Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

DOI10.1007/s11203-010-9044-9zbMath1209.62207OpenAlexW2022686109MaRDI QIDQ2431000

Masanobu Taniguchi, Tomohito Naito, Tomoyuki Amano, Kohei Asai

Publication date: 8 April 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9044-9

zbMATH Keywords

spectral densitynon-Gaussian linear processlocal likelihood ratio testlocal Whittle likelihood estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Local Whittle likelihood estimators and tests for spatial lattice data

Cites Work

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• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Locally parametric nonparametric density estimation
• Asymptotic theory of statistical inference for time series
• Nonlinear time series. Nonparametric and parametric methods
• Gaussian semiparametric estimation of long range dependence
• Automatic Local Smoothing for Spectral Density Estimation
• WHITTLE ESTIMATION OF ARCH MODELS
• Generalised likelihood ratio tests for spectral density

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