A Note on Whittle's Likelihood

DOI10.1080/03610910600880203zbMATH Open1105.62089OpenAlexW1982992474WikidataQ56687359 ScholiaQ56687359MaRDI QIDQ3424293FDOQ3424293

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

Recommendations

• Publication:5751799
• Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• scientific article; zbMATH DE number 934446
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain

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)

Cites Work

• Time series: theory and methods.
• Bayesian Estimation of the Spectral Density of a Time Series
• Local Whittle estimation in nonstationary and unit root cases.
• Gaussian semiparametric estimation of long range dependence
• Exact local Whittle estimation of fractional integration
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• The asymptotic theory of linear time-series models
• Spectral Analysis for Physical Applications
• Title not available (Why is that?)
• Whittle estimator for finite-variance non-Gaussian time series with long memory
• Automatic Local Smoothing for Spectral Density Estimation
• Generalised likelihood ratio tests for spectral density
• Constructing Stationary Time Series Models Using Auxiliary Variables With Applications
• Nonparametric Spectral Density Estimation Using Penalized Whittle Likelihood
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Convergence of normalized quadratic forms

Cited In (18)

• AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series
• Estimation pitfalls when the noise is not i.i.d.
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Contiguity of the Whittle measure for a Gaussian time series
• Local Whittle likelihood approach for generalized divergence
• The debiased Whittle likelihood
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Frequency-domain identification of continuous-time ARMA models from sampled data
• Bayesian Spectral Modeling for Multiple Time Series
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Comparison between the exact likelihood and Whittle likelihood for moving average processes
• Conditional adaptive Bayesian spectral analysis of replicated multivariate time series
• Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
• Title not available (Why is that?)
• Whittle likelihood estimation of nonlinear autoregressive models with moving average residuals
• Bayesian mixture modeling for spectral density estimation
• Title not available (Why is that?)

This page was built for publication: A Note on Whittle's Likelihood

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3424293)