On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models-Reference-Cited by-同舟云学术

On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models

Published:2019-09-12 Issue:1 Volume:23 Page:129-169
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Ivanov A. V.^ORCID,Leonenko N. N.^ORCID,Orlovskyi I. V.^ORCID

Abstract

Abstract A continuous-time nonlinear regression model with Lévy-driven linear noise process is considered. Sufficient conditions of consistency and asymptotic normality of the Whittle estimator for the parameter of spectral density of the noise are obtained in the paper.

Funder

Cardiff University

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11203-019-09206-z.pdf

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