Non-regular estimation theory for piecewise continuous spectral densities

DOI10.1016/J.SPA.2007.04.001zbMath1129.62084OpenAlexW2054686412MaRDI QIDQ2469494

Masanobu Taniguchi

Publication date: 6 February 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.04.001

zbMATH Keywords

likelihood ratioasymptotic efficiencymaximum likelihood estimatorBayes estimatorpiecewise continuous spectra

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes (62M99)

Related Items (4)

On parameter estimation of threshold autoregressive models ⋮ Higher‐order asymptotics of minimax estimators for time series ⋮ Hellinger distance estimation for nonregular spectra ⋮ Minimax estimation for time series models

Uses Software

• astsa

Cites Work

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• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis
• Asymptotic theory of statistical inference for time series
• Remarks on the Approximation of the Likelihood Function of a Stationary Gaussian Process
• Band Spectral Regression with Trending Data

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