Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram

DOI10.2307/3318516zbMath0982.62073OpenAlexW2085068698MaRDI QIDQ1586577

Carenne Ludeña

Publication date: 19 February 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1081449603

zbMATH Keywords

Gaussian processeslong-range dependencespectral estimatesminimum contrast estimatorslog-periodogram

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Related Items (6)

Minimum Contrast Parameter Estimation for Fractal Random Fields Based on the Wavelet Periodogram ⋮ Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence ⋮ Asymptotics for functionals of powers of a periodogram ⋮ Minimum contrast estimation of random processes based on information of second and third orders ⋮ Estimating the Hurst parameter ⋮ Moment bounds and central limit theorem for functions of Gaussian vectors

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