Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
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Publication:2448712
DOI10.3150/12-BEJ505zbMath1400.62197arXiv1208.5501MaRDI QIDQ2448712
Till Sabel, Johannes Schmidt-Hieber
Publication date: 5 May 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.5501
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)
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On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect ⋮ Estimation of the Hurst parameter from continuous noisy data ⋮ Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
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