Contiguity of the Whittle measure for a Gaussian time series

DOI10.1093/BIOMET/91.1.211MaRDI QIDQ5456563zbMATH OpenOpenAlexWikidataFDO

Authors Nidhan Choudhuri, Subhashis Ghosal, Anindya Roy

Publication date 8 April 2008

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/91.1.211

zbMATH Keywords

consistencyspectral densityperiodogramcontiguitydiscrete Fourier transformWhittle likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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