Statistical estimation for stationary models with tapered data

DOI10.3103/S1068362321060030zbMath1482.62095arXiv2105.06890OpenAlexW4205515689MaRDI QIDQ2116627

Artur A. Sahakyan, Mamikon S. Ginovyan

Publication date: 18 March 2022

Published in: Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.06890

zbMATH Keywords

robustnessspectral densitystationary processestapered dataparametric and nonparametric estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Point estimation (62F10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Econometric estimation in long-range dependent volatility models: theory and practice
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Efficient estimation of spectral functionals for continuous-time stationary models
• 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
• Asymptotically efficient nonparametric estimation of functionals of a spectral density function
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Asymptotically normal families of distributions and efficient estimation
• Time series: theory and methods.
• Possible long-range dependence in fractional random fields.
• On Toeplitz type quadratic functionals of stationary Gaussian processes
• Asymptotically efficient nonparametric estimation of nonlinear spectral functionals
• Asymptotic theory of statistical inference for time series
• Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
• Asymptotically optimal estimation in misspecified time series models
• Asymptotic properties of spectrum estimate of stationary Gaussian processes
• On the trace approximations of products of Toeplitz matrices
• Parameter estimation for Lévy-driven continuous-time linear models with tapered data
• Goodness-of-fit tests for stationary Gaussian processes with tapered data
• Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes
• 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
• Trace Approximations of Products of Truncated Toeplitz Operators
• 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
• 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
• Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• Long-Memory Processes
• The Whittle Estimator for Strongly Dependent Stationary Gaussian Fields
• How can we Define the Concept of Long Memory? An Econometric Survey
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• On the Central Limit Theorem for Toeplitz Quadratic Forms of Stationary Sequences
• On Estimation of the Spectral Function of a Stationary Gaussian Process
• 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

This page was built for publication: Statistical estimation for stationary models with tapered data