On asymptotic quasi-likelihood estimation

DOI10.1016/0304-4149(89)90089-6zbMath0684.62067OpenAlexW2014866948MaRDI QIDQ1825572

Christopher C. Heyde, Roger Gay

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90089-6

zbMATH Keywords

Gaussian processrandom fieldlong range dependenceasymptotic optimalityestimating functionsscore functionquasi-likelihood estimatorssmoothed periodogramsorthogonality propertiesasymptotic confidence zones of minimum sizeAsymptotic quasi-likelihoodWhittle procedure

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99)

Related Items (13)

Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ On a class of minimum contrast estimators for fractional stochastic processes and fields ⋮ Parameter estimation of random fields with long-range dependence ⋮ On the efficiency of estimators of a spectral density multivariate parameter ⋮ On asymptotic optimality of estimating functions ⋮ On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model ⋮ ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM ⋮ On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models ⋮ Convergence to Normality of the Asymptotic Quasi-Score Function on a Linear Model ⋮ Non-ergodic martingale estimating functions and related asymptotics ⋮ Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence ⋮ On the Whittle estimators for some classes of continuous-parameter random 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

Cites Work

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• Central limit theorems for quadratic forms in random variables having long-range dependence
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• Optimal robust estimation for discrete time stochastic processes
• An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Efficiency of estimating equations and the use of pivots
• The asymptotic theory of linear time-series models

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