scientific article; zbMATH DE number 3911540

MaRDI QIDQ3687560zbMATH OpenFDO

Authors R. Dahlhaus

Publication date 1984

zbMATH Keywords

asymptotic normalityasymptotically efficient estimatescentral limit theoremConsistencyMonte Carlo study on Yule-Walker estimatesquasi maximum likelihood parameter estimatesreal valued stationary time seriestapered datatapered periodogramWhittle modification of the likelihood function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(15)

• On the errors-in-variables problem for time series
• Parameter estimation for Lévy-driven continuous-time linear models with tapered data
• Goodness-of-fit tests for stationary Gaussian processes with tapered data
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Statistical inference for stationary linear models with tapered data
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
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• ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES
• Efficient estimation of functionals of the spectral density of stationary Gaussian fields
• THE NUMBER OF PEAKS IN A STATIONARY SAMPLE AND ORTHANT PROBABILITIES
• A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles
• Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
• Simplified Whittle estimators for spectral parameters of stationary linear models with tapered data
• On the criterion function for ARMA estimation
• Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation

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