Asymptotic theory of parameter estimation by a contrast function based on interpolation error

DOI10.1007/s11203-015-9116-yzbMath1356.62161OpenAlexW1986128291MaRDI QIDQ265669

Masanobu Taniguchi, Yoshihiro Suto, Yan Liu

Publication date: 4 April 2016

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

Full work available at URL: https://doi.org/10.1007/s11203-015-9116-y

zbMATH Keywords

asymptotic efficiencyperiodogramstationary processspectral densityinterpolation errorcontrast function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Robust parameter estimation for stationary processes by an exotic disparity from prediction problem ⋮ Unnamed Item ⋮ Robust empirical likelihood for time series

Cites Work

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• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Parametric estimators for stationary time series with missing observations
• Estimation of Time Series Models in the Presence of Missing Data
• ROBUST REGRESSION AND INTERPOLATION FOR TIME SERIES
• The asymptotic theory of linear time-series models

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