Asymptotic properties of Ibragimov’s estimator for a parameter of the spectral density of the random noise in a nonlinear regression model

DOI10.1090/tpms/1003zbMath1357.62231MaRDI QIDQ2960457

V. V. Prikhod'Ko, Alexander V. Ivanov

Publication date: 9 February 2017

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1003

zbMATH Keywords

consistency; asymptotic normality; spectral density; residual periodogram; nonlinear regression model; Gaussian stationary noise; Ibragimov estimator

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60G15: Gaussian processes

60G10: Stationary stochastic processes

62J02: General nonlinear regression

Related Items

Robust estimation for continuous-time linear models with memory, Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model, Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a class of minimum contrast estimators for Gegenbauer random fields
• Possible long-range dependence in fractional random fields.
• On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
• Asymptotic expansion of the moments of correlogram estimator for the random-noise covariance function in the nonlinear regression model
• Semiparametric analysis of long-range dependence in nonlinear regression
• On the Whittle estimators for some classes of continuous-parameter random processes and fields
• Stochastic asymptotic expansion of correlogram estimator of the correlation function of random noise in nonlinear regression model
• Estimation of harmonic component in regression with cyclically dependent errors
• On Estimation of the Spectral Function of a Stationary Gaussian Process
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors