Asymptotic inference in stationary Gaussian time-series

DOI10.2307/1425830MaRDI QIDQ4403207zbMATH OpenOpenAlexFDO

Authors Robert Davies

Publication date 1973

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1425830

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Cited in

(37)

• Detecting changes in the ar parameters of a nonstationary arma process
• Alternative models for stationary stochastic processes
• Testing and estimating in the change-point problem of the spectral function
• A likelihood approximation for locally stationary processes
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
• Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
• Asymptotic equivalence of spectral density estimation and Gaussian white noise
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• On the Kullback-Leibler information divergence of locally stationary processes
• Wavelet-based methods for high-frequency lead-lag analysis
• On the asymptotic structure of Brownian motions with a small lead-lag effect
• Robust phase algorithms for estimating apparent slowness vectors of seismic waves from regional events
• Non-parametric applications of an infinite dimensional convolution theorem
• Local asymptotic normality for autoregression with infinite order
• ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
• Local asymptotic normality for multivariate linear processes
• Maximum likelihood estimation of the spectral density parameter
• Statistically-based approach for monitoring of micro-seismic events
• Nonparametric spectral density estimation under local differential privacy
• The asymptotic efficiency, in the sense of Bahadur, of estimators of a multidimensional parameter of the spectral density
• Statistical estimation of the multivariate parameter of spectral density. I
• Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• A General Approach to the Optimality of Minimum Distance Estimators
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• Peak-insensitive parametric spectrum estimation
• Efficient estimation of spectral functionals for continuous-time stationary models
• Asymptotic behavior of the logarithm of the likelihood function when the spectral density has polynomial zeros
• Asymptotics of minimax mean-square risk of statistical estimators of spectral density parameters
• Efficient estimation of functionals of the spectral density of stationary Gaussian fields
• Rate of uniform convergence of statistical estimators of spectral density in spaces of differentiable functions
• Local asymptotic normality for multivariate nonlinear AR processes
• Asymptotically similar criteria
• Asymptotically optimal estimation in misspecified time series models
• Recursive parameter estimation for counting processes with linear intensity

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