Frequency-domain estimation of continuous-time bilinear processes

DOI10.1007/s40304-019-00196-1zbMath1477.62235OpenAlexW2980485815MaRDI QIDQ2063073

Fateh Merahi, Abdelouahab Bibi

Publication date: 10 January 2022

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-019-00196-1

zbMATH Keywords

consistencyasymptotic normalityWhittle estimatorcontinuous-time bilinear processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• The theory of differential equations. Classical and qualitative
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Statistical inference for ergodic diffusion processes.
• Approximate discrete-time schemes for statistics of diffusion processes
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• The asymptotic theory of linear time-series models
• Stochastic differential equations. An introduction with applications.
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