Efficient estimation of spectral functionals for continuous-time stationary models

DOI10.1007/S10440-011-9617-7zbMATH Open1327.62209OpenAlexW1967671768MaRDI QIDQ634700FDOQ634700

Publication date: 16 August 2011

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-011-9617-7

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spectral density singularities asymptotic bounds continuous-time stationary process efficient nonparametric estimation local asymptotic normality (LAN)spectral functionals

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Cites Work

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Contributions to a general asymptotic statistical theory. With the assistance of W. Wefelmeyer
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Optimal plug-in estimators for nonparametric functional estimation
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Asymptotically efficient nonparametric estimation of functionals of a spectral density function
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Asymptotically optimal estimation in misspecified time series models
Asymptotically Efficient Nonparametric Estimation of Functionals of a Spectral Density Having Zeros
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Infinite-Dimensional Informational Inequalities
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Cited In (14)

Statistical estimation for stationary models with tapered data
Statistical inference for stationary linear models with tapered data
Efficient estimation of spectral functionals for Gaussian stationary models
Parameter estimation for Lévy-driven continuous-time linear models with tapered data
Asymptotically Efficient Nonparametric Estimation of Functionals of a Spectral Density Having Zeros
Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes
Title not available (Why is that?)
Robust estimation for continuous-time linear models with memory
The trace problem for Toeplitz matrices and operators and its impact in probability
Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
Asymptotically efficient nonparametric estimation of nonlinear spectral functionals

Uses Software

longmemo

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