Efficient estimation of spectral functionals for continuous-time stationary models

DOI10.1007/s10440-011-9617-7zbMath1327.62209OpenAlexW1967671768MaRDI QIDQ634700

Mamikon S. Ginovyan

Publication date: 16 August 2011

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-011-9617-7

zbMATH Keywords

singularitiesspectral densityasymptotic boundscontinuous-time stationary processefficient nonparametric estimationlocal asymptotic normality (LAN)spectral functionals

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (10)

Statistical inference for stationary linear models with tapered data ⋮ Robust estimation for continuous-time linear models with memory ⋮ Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ On the robustness to small trends of parameter estimation for continuous-time stationary models with memory ⋮ Parameter estimation for Lévy-driven continuous-time linear models with tapered data ⋮ Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes ⋮ Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ Statistical estimation for stationary models with tapered data

Uses Software

• longmemo

Cites Work

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