Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions

DOI10.1111/jtsa.12225zbMath1360.62458OpenAlexW2564447775MaRDI QIDQ2968464

Richard E. Chandler, Joao Jesus

Publication date: 16 March 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/1536681/

zbMATH Keywords

spectral analysisestimating functionrainfallsandwich estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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