On the Whittle estimators for some classes of continuous-parameter random processes and fields
From MaRDI portal
Publication:2493798
DOI10.1016/j.spl.2005.10.010zbMath1089.62101MaRDI QIDQ2493798
Ludmila M. Sakhno, Nikolai N. Leonenko
Publication date: 16 June 2006
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.10.010
consistency; asymptotic normality; Gaussian processes; minimum contrast estimators; Whittle estimators
Related Items
Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence, Local Whittle estimator for anisotropic random fields, Statistical inference for reciprocal gamma diffusion process, Semiparametric analysis of long-range dependence in nonlinear regression, Minimum Contrast Parameter Estimation for Fractal Random Fields Based on the Wavelet Periodogram, Parameter estimation for reciprocal gamma Ornstein–Uhlenbeck type processes, Statistical Inference for Student Diffusion Process, On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Minimum contrast estimation of random processes based on information of second and third orders
- Efficient parameter estimation for self-similar processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Statistical estimation of the multivariate parameter of spectral density. I
- Statistical estimation of multidimensional parameter of spectral density. II
- Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
- Possible long-range dependence in fractional random fields.
- Parameter identification for singular random fields arising in Burgers' turbulence
- On Toeplitz type quadratic functionals of stationary Gaussian processes
- Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
- Whittle estimator for finite-variance non-Gaussian time series with long memory
- On asymptotic quasi-likelihood estimation
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Estimation and information in stationary time series
- Long memory in continuous-time stochastic volatility models
- Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency
- On a Method of Calculation of Semi-Invariants
- Parameter estimation for a stationary process on a d-dimensional lattice
- Vector linear time series models
- Dynamic models of long-memory processes driven by Lévy noise
- Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
- Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
- The asymptotic theory of linear time-series models
