Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data

DOI10.1214/18-EJS1525zbMath1462.62228OpenAlexW2914866579MaRDI QIDQ1722054

Mamikon S. Ginovyan, Artur A. Sahakyan

Publication date: 14 February 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1548817591

zbMATH Keywords

asymptotic normalitycentral limit theoremnonparametric estimationtapered datasmoothed periodogramToeplitz-type quadratic functionalLévy-driven continuous-time model

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Statistical inference for stationary linear models with tapered data ⋮ Parameter estimation for Lévy-driven continuous-time linear models with tapered data ⋮ Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Statistical estimation for stationary models with tapered data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Recent results in the theory and applications of CARMA processes
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes
• Efficient estimation of spectral functionals for continuous-time stationary models
• Minimum contrast estimation of random processes based on information of second and third orders
• Limit theorems for Toeplitz quadratic functionals of continuous-time stationary processes
• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• A functional limit theorem for tapered empirical spectral functions
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• Asymptotically normal families of distributions and efficient estimation
• On Toeplitz type quadratic functionals of stationary Gaussian processes
• Asymptotically efficient nonparametric estimation of nonlinear spectral functionals
• Asymptotically optimal estimation in misspecified time series models
• Empirical spectral processes and their applications to stationary point processes
• Asymptotic properties of spectrum estimate of stationary Gaussian processes
• On the Whittle estimators for some classes of continuous-parameter random processes and fields
• Minimum Contrast Method for Parameter Estimation in the Spectral Domain
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Asymptotically Efficient Nonparametric Estimation of Functionals of a Spectral Density Having Zeros
• Edge effects and efficient parameter estimation for stationary random fields
• On Estimating the Value of a Linear Functional of the Spectral Density of a Gaussian Stationary Process
• Robust estimation for continuous-time linear models with memory
• Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes

This page was built for publication: Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data