Whittle estimation for continuous-time stationary state space models with finite second moments

DOI10.1007/s10463-021-00802-6OpenAlexW3189438328MaRDI QIDQ2121445

Vicky Fasen-Hartmann, Celeste Mayer

Publication date: 4 April 2022

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-021-00802-6

zbMATH Keywords

consistencyasymptotic normalityperiodogramidentifiabilitystate space modelWhittle estimatorCARMA processquasi-maximum-likelihood estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Empirical spectral processes for stationary state space models

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