A Note on Whittle's Likelihood

DOI10.1080/03610910600880203MaRDI QIDQ3424293zbMATH OpenOpenAlexWikidataFDO

Authors A. Contreras-Cristán, E. Gutiérrez-Peña, Stephen G. Walker

Publication date 15 February 2007

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910600880203

zbMATH Keywords

Gaussian processspectral densitystationary time seriesgamma processperiodogramautocorrelation functionARCH processlinear autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Automatic Local Smoothing for Spectral Density Estimation
• Bayesian Estimation of the Spectral Density of a Time Series
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Constructing Stationary Time Series Models Using Auxiliary Variables With Applications
• Convergence of normalized quadratic forms
• Exact local Whittle estimation of fractional integration
• Gaussian semiparametric estimation of long range dependence
• Generalised likelihood ratio tests for spectral density
• Local Whittle estimation in nonstationary and unit root cases.
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
• Spectral Analysis for Physical Applications
• The asymptotic theory of linear time-series models
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Time series: theory and methods.
• Whittle estimator for finite-variance non-Gaussian time series with long memory

Cited in

(18)

• Conditional adaptive Bayesian spectral analysis of replicated multivariate time series
• Contiguity of the Whittle measure for a Gaussian time series
• Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
• Local Whittle likelihood approach for generalized divergence
• Whittle likelihood estimation of nonlinear autoregressive models with moving average residuals
• scientific article; zbMATH DE number 4186937 (Why is no real title available?)
• AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• The debiased Whittle likelihood
• Estimation pitfalls when the noise is not i.i.d.
• Comparison between the exact likelihood and Whittle likelihood for moving average processes
• Bayesian mixture modeling for spectral density estimation
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• scientific article; zbMATH DE number 219324 (Why is no real title available?)
• Frequency-domain identification of continuous-time ARMA models from sampled data
• Bayesian Spectral Modeling for Multiple Time Series
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Posterior consistency for the spectral density of non‐Gaussian stationary time series

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