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Keyword: whittle estimation;
3 results found.
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Violetta Dalla, Liudas Giraitis and Javier Hidalgo
For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, excep...Read more...
Peter M Robinson and J Vidal Sanz
In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d >= 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more gene...Read more...
Liudas Giraitis and Peter M Robinson
For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by c...Read more...