A Note on Whittle's Likelihood

DOI10.1080/03610910600880203zbMath1105.62089OpenAlexW1982992474WikidataQ56687359 ScholiaQ56687359MaRDI QIDQ3424293

Eduardo Gutiérrez-Peña, Stephen G. Walker, Alberto Contreras-Cristán

Publication date: 15 February 2007

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910600880203

zbMATH Keywords

Gaussian processautocorrelation functionperiodogramspectral densitystationary time seriesgamma processARCH processlinear autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Frequency-domain identification of continuous-time ARMA models from sampled data ⋮ AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series ⋮ Bayesian mixture modeling for spectral density estimation ⋮ Posterior consistency for the spectral density of non‐Gaussian stationary time series ⋮ Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis ⋮ Bayesian Spectral Modeling for Multiple Time Series

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