Statistical inference of spectral estimation for continuous-time MA processes with finite second moments

DOI10.3103/S1066530713040029zbMATH Open1283.62191OpenAlexW2033699309MaRDI QIDQ2439929FDOQ2439929

Authors: Vicky Fasen 

Publication date: 26 March 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530713040029

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zbMATH Keywords

spectral densityperiodogramcontinuous-timeMA processlag-window spectral density estimatorLévy process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (6)

• Empirical spectral processes for stationary state space models
• Whittle estimation for continuous-time stationary state space models with finite second moments
• Estimating the spectral density, autocovariance function and spectral measure of continuous-time stationary processes
• A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
• Title not available (Why is that?)
• Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes

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