Asymptotic equivalence of spectral density estimation and Gaussian white noise

DOI10.1214/09-AOS705zbMath1181.62152arXiv0903.1314MaRDI QIDQ847633

Georgi K. Golubev, Michael Nussbaum, Harrison H. Zhou

Publication date: 19 February 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.1314

zbMATH Keywords

stationary Gaussian processspectral densitylog-periodogram regressionasymptotic equivalenceWhittle likelihoodSobolev classesLe Cam distancenonparametric Gaussian scale modelsignal in Gaussian white noise

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Theory of statistical experiments (62B15) Inference from stochastic processes and spectral analysis (62M15)

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