Preliminary test estimation for spectra

DOI10.1016/j.spl.2011.06.006zbMath1227.62078OpenAlexW2077461133MaRDI QIDQ643220

Kenichiro Tamaki, Yusuke Maeyama, Masanobu Taniguchi

Publication date: 28 October 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.06.006

zbMATH Keywords

spectral densityquasi-maximum likelihood estimatorARMA modelstationary linear process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation ⋮ Shrinkage estimation strategy in quasi-likelihood models

Cites Work

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• Asymptotic theory of statistical inference for time series
• Local asymptotic normality for regression models with long-memory disturbance
• Systematic Approach for Portmanteau Tests in View of the Whittle Likelihood Ratio
• Relative performance of stein-rule and preliminary test estimators in linear models least squares theory
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

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