Contiguity of the Whittle measure for a Gaussian time series

DOI10.1093/BIOMET/91.1.211zbMATH Open1132.62350OpenAlexW2123448756WikidataQ55953547 ScholiaQ55953547MaRDI QIDQ5456563FDOQ5456563

Subhashis Ghosal, Nidhan Choudhuri, 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)

Cited In (10)

• Geostatistics of extremes
• Bernstein polynomial estimation of a spectral density
• Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
• Asymptotic equivalence of spectral density estimation and Gaussian white noise
• A spectral EM algorithm for dynamic factor models
• A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
• Random field priors for spectral density functions
• Bernshteĭn-von Mises theorems for nonparametric function analysis via locally constant modelling: a unified approach
• Optimal HAR inference
• Convergence rates of posterior distributions for non iid observations

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