Estimation and information in stationary time series

From MaRDI portal
Publication:2651518

DOI10.1007/BF02590998zbMath0053.41003MaRDI QIDQ2651518

Peter Whittle

Publication date: 1953

Published in: Arkiv för Matematik (Search for Journal in Brave)




Related Items (only showing first 100 items - show all)

On the integral of the squared periodogramWhittle estimation for continuous-time stationary state space models with finite second momentsAn improvement of the GPH estimator.Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise modelsA note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequenciesMinimum distance estimation of ARFIMA processesA harmonically weighted filter for cyclical long memory processesEstimation of mis-specified long memory modelsA semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural networkLocal inference for locally stationary time series based on the empirical spectral measureNonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processesA frequency domain empirical likelihood for short- and long-range dependenceEstimation methods for the LRD parameter under a change in the meanA new preliminary estimator for MA(1) modelsOn the efficiency of estimators of a spectral density multivariate parameterON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIESFitting time series models to nonstationary processesConvergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equationEmpirical likelihood for moving average modelsThe Misspecification of Arma ModelsEmpirical likelihood in long-memory time series modelsOn the Kullback-Leibler information divergence of locally stationary processesDISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIESComputation of the Fisher information matrix for time series modelsAdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time SeriesOn the estimation of the parameters of a power spectrumStatistical estimation of the multivariate parameter of spectral density. IEmpirical spectral processes for locally stationary time seriesAn efficient estimator for locally stationary Gaussian long-memory processesInterpolation of nonstationary high frequency spatial-temporal temperature dataIssues in the estimation of mis-specified models of fractionally integrated processesFREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELSFISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELSOn seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activityOn the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression modelA Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average ModelsModeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck processA regularised estimator for long-range dependent processesAdjusted jackknife empirical likelihood for stationary ARMA and ARFIMA modelsAdjusted empirical likelihood for time series modelsOn prediction of integrated moving average processesComputing and estimating information matrices of weak ARMA modelsEstimation of upper bounds of errors in identifying autoregressive modelsStatistical inference for functions of the covariance matrix in the stationary Gaussian time-orthogonal principal components modelReplicated INAR(1) processesInference with the Whittle Likelihood: A Tractable Approach Using Estimating FunctionsA new model for explaining long-range correlations in human time interval productionApproximation for the inverse of Toeplitz matrices with applications to stationary processesCanonical correlation analysis between time series and static outcomes, with application to the spectral analysis of heart rate variabilityBayesian approach to Hurst exponent estimationInteger autoregressive models with structural breaksValid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent processEstimation of the variance of the quasi-maximum likelihood estimator of weak VARMA modelsA covariance extension approach to identification of time seriesGaussian linear model selection in a dependent contextMinimal eigenvalues of Toeplitz matrices and of products of Toeplitz matricesModel fitting for continuous-time stationary processes from discrete-time dataEstimation of the Hurst parameter from discrete noisy dataOn the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression modelsEstimating a covariance function having an un unknown scale kakameterEstimating FARIMA models with uncorrelated but non-independent error termsKalman filtering and smoothing for model-based signal extraction that depend on time-varying spectraIdentification of non-minimum phase transfer function using higher-order spectrumStatistical analysis of autoregressive fractionally integrated moving average models in RWhittle estimation in a heavy-tailed GARCH(1,1) model.A FREQUENCY DOMAIN APPROACH FOR THE ESTIMATION OF PARAMETERS OF SPATIO‐TEMPORAL STATIONARY RANDOM PROCESSESThe first-order moving average process. Identification, estimation and predictionIdentification of predictor and filter parameters by ARMA methods†Comparison of various methods for estimating the parameters characterizing noise in discrete time dynamical systemsOn the Whittle estimators for some classes of continuous-parameter random processes and fieldsCalculation of the Fisher Information Matrix for Periodic ARMA ModelsFast simulation of self-similar and correlated processesSaddlepoint approximations for short and long memory time series: a frequency domain approachEstimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic resultsImplementation of the direct representation for the maximum likelihood estimator of a gaussian moving average processComputation of the exact information matrix of Gaussian dynamic regression time series modelsOn a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fieldsEstimation of Hurst exponent revisitedAccelerating sequential Monte Carlo with surrogate likelihoodsEstimation of parameters for a linear difference equation with application to EEG analysisAsymptotically optimal estimation in misspecified time series modelsAdaptive Bayesian Time–Frequency Analysis of Multivariate Time SeriesPseudo-maximum likelihood estimators in linear regression models with fractional time seriesESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE MODELS VIA HIGH-ORDER AUTOREGRESSIVE APPROXIMATIONSSpectral methods in spatial statisticsAdjusted empirical likelihood for long-memory time-series modelsEfficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormalEstimation pitfalls when the noise is not i.i.d.Estimation based on one step ahead prediction versus estimation based on multi-step ahead predictionAkaike’s information criterion correction for the least-squares autoregressive spectral estimatorMinimum distance estimation of locally stationary moving average processesA likelihood approximation for locally stationary processesAsymptotic behavior of the logarithm of the likelihood function when the spectral density has polynomial zerosImpact of the periodicity and trend on the FD parameter estimationInference for Random Coefficient INAR(1) Process Based on Frequency Domain AnalysisConstruction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rulesWhittle estimation based on the extremal spectral density of a heavy-tailed random fieldEmpirical spectral processes for stationary state space modelsUnnamed ItemA note on the asymptotic behaviour of empirical likelihood statistics



Cites Work


This page was built for publication: Estimation and information in stationary time series