Minimum contrast estimation of random processes based on information of second and third orders

DOI10.1016/j.jspi.2006.03.001zbMath1107.62082OpenAlexW2006098103MaRDI QIDQ872088

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

Publication date: 27 March 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://eprints.qut.edu.au/22786/1/Minimum_contrast_estimation_of_random_processes_based_on_information_of_second_and_third.pdf

zbMATH Keywords

consistencyasymptotic normalitysimulationslong-range dependenceminimum contrast estimatorscumulant spectrafrequency domain estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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