Simplified Whittle Estimators for Spectral Parameters of Stationary Linear Models with Tapered Data
Pub Date : 2024-04-09
DOI:10.3103/s1068362324010047
引用次数: 0
Abstract
The paper is concerned with the statistical estimation of the spectral parameters of stationary models with tapered data. As estimators of the unknown parameters we consider the tapered Whittle estimator and the simplified tapered Whittle estimators. We show that under broad regularity conditions on the spectral density of the model these estimators are asymptotically statistically equivalent, in the sense that these estimators possess the same asymptotic properties. The processes considered will be discrete-time and continuous-time Gaussian, linear or Lévy-driven linear processes with memory.
具有锥形数据的静态线性模型频谱参数的简化惠特尔估计器
摘要 本文主要研究具有锥形数据的静态模型谱参数的统计估计。作为未知参数的估计器，我们考虑了锥形惠特尔估计器和简化锥形惠特尔估计器。我们证明，在模型谱密度的广泛正则性条件下，这些估计器在统计上是渐近等价的，即这些估计器具有相同的渐近特性。考虑的过程将是离散时间和连续时间高斯、线性或具有记忆的莱维驱动线性过程。
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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