Statistical inference using higher-order information

JOURNAL OF MULTIVARIATE ANALYSIS

卷:98

Article

Anh, V. V. ; Leonenko, N. N. ; Sakhno, L. M.

关键词: minimum contrast estimators;    higher-order spectral densities;    long-range dependence;    consistency;    asymptotic normality;   

DOI  :  10.1016/j.jmva.2006.09.009

来源: Elsevier

【 摘 要 】

This paper presents a class of minimum contrast estimators for stochastic processes with possible long-range dependence based on the information on higher-order spectral densities. The results on consistency and asymptotic normality of the proposed estimators are provided. (c) 2006 Elsevier Inc. All rights reserved.

【 授权许可】

Free