Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions

DOI10.1111/JTSA.12225MaRDI QIDQ2968464zbMATH OpenOpenAlexFDO

Authors Joao Jesus, R. E. Chandler

Publication date 16 March 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://discovery.ucl.ac.uk/id/eprint/1536681/

zbMATH Keywords

sandwich estimatorestimating functionspectral analysisrainfall

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(2)

• The debiased Whittle likelihood
• A Note on Whittle's Likelihood

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