Robust estimation for continuous-time linear models with memory

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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Cites work

A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
Asymptotic properties of Ibragimov's estimator for a parameter of the spectral density of the random noise in a nonlinear regression model
Asymptotic properties of spectrum estimate of stationary Gaussian processes
Asymptotic theory of statistical inference for time series
Asymptotically efficient nonparametric estimation of functionals of a spectral density function
Asymptotically Efficient Nonparametric Estimation of Functionals of a Spectral Density Having Zeros
Asymptotically efficient nonparametric estimation of nonlinear spectral functionals
Asymptotically normal families of distributions and efficient estimation
Asymptotically optimal estimation in misspecified time series models
Econometric estimation in long-range dependent volatility models: theory and practice
Efficient estimation of spectral functionals for continuous-time stationary models
Efficient estimation of spectral functionals for Gaussian stationary models
Efficient parameter estimation for self-similar processes
scientific article; zbMATH DE number 4078584 (Why is no real title available?)
scientific article; zbMATH DE number 3070807 (Why is no real title available?)
Intrinsic Random Functions and the Paradox of $1/{\text{f}}$ Noise
Large sample inference for long memory processes
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
Limit theorems for Toeplitz quadratic functionals of continuous-time stationary processes
Long-memory processes. Probabilistic properties and statistical methods
Minimum contrast estimation of random processes based on information of second and third orders
Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
Non-parametric applications of an infinite dimensional convolution theorem
On a class of minimum contrast estimators for fractional stochastic processes and fields
On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
On Estimating the Value of a Linear Functional of the Spectral Density of a Gaussian Stationary Process
ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
On the Whittle estimators for some classes of continuous-parameter random processes and fields
On Toeplitz type quadratic functionals of stationary Gaussian processes
Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
Parameter estimation of stochastic process with long-range dependence and intermittency
Possible long-range dependence in fractional random fields.
Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
Recent results in the theory and applications of CARMA processes
Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.

Cited in

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Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
Statistical estimation for stationary models with tapered data
Statistical inference for stationary linear models with tapered data
Parameter estimation for energy balance models with memory
scientific article; zbMATH DE number 1944318 (Why is no real title available?)
ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
On the robustness to small trends of parameter estimation for continuous-time stationary models with memory

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