Asymptotic inference in stationary Gaussian time-series

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)

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ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
Local asymptotic normality for autoregression with infinite order
Local asymptotic normality for multivariate linear processes
Maximum likelihood estimation of the spectral density parameter
Nonparametric spectral density estimation under local differential privacy
Statistically-based approach for monitoring of micro-seismic events
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
Detecting changes in the ar parameters of a nonstationary arma process

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