Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence

DOI10.1239/jap/1082552189zbMath1049.62107OpenAlexW2090894519MaRDI QIDQ4822450

Ludmila M. Sakhno, V. V. Anh, Nikolai N. Leonenko

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082552189

zbMATH Keywords

quasi-likelihood estimationlong-range dependenceminimum contrast estimatorhigher-order spectral densities

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Statistical inference using higher-order information, Spatiotemporal covariance functions for Laplacian ARMA fields in higher dimensions, Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations, On multivariate nonlinear regression models with stationary correlated errors, Asymptotics for functionals of powers of a periodogram, Parameter estimation for reciprocal gamma Ornstein–Uhlenbeck type processes, Minimum Contrast Method for Parameter Estimation in the Spectral Domain, On the Whittle estimators for some classes of continuous-parameter random processes and fields, Spectral properties of Burgers and KPZ turbulence, Parameter estimation for Lévy-driven continuous-time linear models with tapered data, Diffusion on multifractals, On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Minimum contrast estimation of random processes based on information of second and third orders
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Statistical estimation of the multivariate parameter of spectral density. I
• Statistical estimation of multidimensional parameter of spectral density. II
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
• Whittle estimator for finite-variance non-Gaussian time series with long memory
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Statistical inference using higher-order information
• 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
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Edge effects and efficient parameter estimation for stationary random fields
• Parameter estimation for a stationary process on a d-dimensional lattice
• Vector linear time series models
• Dynamic models of long-memory processes driven by Lévy noise
• A risky asset model with strong dependence through fractal activity time
• Wireless Sensor Networks
• On Estimation of the Spectral Function of a Stationary Gaussian Process
• An Introduction to Polyspectra
• The asymptotic theory of linear time-series models