Statistical estimation of the multivariate parameter of spectral density. I

DOI10.1007/BF01027188zbMath0678.62091MaRDI QIDQ1124253

R. Yu. Bentkus, R. R. Malyukyavichyus

Publication date: 1988

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

momentssemi-invariantslimiting Gaussian distributionasymptotic properties of Whittle statisticstationary in the broad sensestochastic process with uncorrelated increments

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Statistical inference using higher-order information ⋮ On the efficiency of estimators of a spectral density multivariate parameter ⋮ Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence ⋮ Minimum contrast estimation of random processes based on information of second and third orders ⋮ 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 ⋮ Maximum likelihood estimation of the spectral density parameter

Cites Work

• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
• Estimation and information in stationary time series
• Asymptotic inference in stationary Gaussian time-series
• On the Problem of the Equivalence of Probability Measures Corresponding to Stationary Gaussian Processes
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
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