Parameter estimation for Lévy-driven continuous-time linear models with tapered data
From MaRDI portal
Publication:2023033
DOI10.1007/s10440-019-00289-7zbMath1465.62055OpenAlexW2972460008MaRDI QIDQ2023033
Publication date: 3 May 2021
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-019-00289-7
consistencyasymptotic normalityspectral densityparametric estimationtapered datasmoothed periodogramLévy-driven continuous-time model
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Point estimation (62F10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)
Related Items
Statistical inference for stationary linear models with tapered data ⋮ Goodness-of-fit tests for stationary Gaussian processes with tapered data ⋮ 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
- Econometric estimation in long-range dependent volatility models: theory and practice
- Recent results in the theory and applications of CARMA 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
- Efficient parameter estimation for self-similar processes
- Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
- Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
- On Toeplitz type quadratic functionals of stationary Gaussian processes
- Asymptotic theory of statistical inference for time series
- Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
- Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes
- Asymptotic properties of parameter estimates for random fields with tapered data
- On the Whittle estimators for some classes of continuous-parameter random processes and fields
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency
- On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
- SPECTRAL ANALYSIS WITH TAPERED DATA
- Edge effects and efficient parameter estimation for stationary random fields
- Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
- Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
- The Whittle Estimator for Strongly Dependent Stationary Gaussian Fields
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
- On the Estimation of the Spectral Parameters of a Gaussian Stationary Process with Rational Spectral Density
- Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
- Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
