Minimum contrast estimation of random processes based on information of second and third orders

DOI10.1016/J.JSPI.2006.03.001zbMATH Open1107.62082OpenAlexW2006098103MaRDI QIDQ872088FDOQ872088

L. Sakhno, Nikolai N. Leonenko, Vo V. Anh

Publication date: 27 March 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://eprints.qut.edu.au/22786/1/Minimum_contrast_estimation_of_random_processes_based_on_information_of_second_and_third.pdf

zbMATH Keywords

asymptotic normalityconsistencylong-range dependencesimulationsminimum contrast estimatorsfrequency domain estimationcumulant spectra

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (22)

• Least-squares estimation of multifractional random fields in a Hilbert-valued context
• Minimum Contrast Parameter Estimation for Fractal Random Fields Based on the Wavelet Periodogram
• Spectral analysis of multifractional LRD functional time series
• Statistical inference using higher-order information
• Statistical inference for stationary linear models with tapered data
• Parameter estimation for Lévy-driven continuous-time linear models with tapered data
• Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
• Minimum Contrast Method for Parameter Estimation in the Spectral Domain
• Minimal realizations interpolating first- and second-order information
• Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
• Statistical inference for reciprocal gamma diffusion process
• Robust estimation for continuous-time linear models with memory
• On a class of minimum contrast estimators for Gegenbauer random fields
• Humbert generalized fractional differenced ARMA processes
• Asymptotics for functionals of powers of a periodogram
• 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
• On the Whittle estimators for some classes of continuous-parameter random processes and fields
• Title not available (Why is that?)
• Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence

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