A Note on Whittle's Likelihood
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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
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- Convergence of normalized quadratic forms
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- 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
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- 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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