Statistical inference using higher-order information

Anh, Vo V., Leonenko, Nikolai N., & Sakhno, Ludmila M. (2007) Statistical inference using higher-order information. Journal of Multivariate Analysis, 98(4), pp. 706-742.

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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.

Impact and interest:

2 citations in Scopus
1 citations in Web of Science®
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Full-text downloads:

216 since deposited on 04 May 2007
4 in the past twelve months

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ID Code: 7397
Item Type: Journal Article
Refereed: Yes
Keywords: Minimum contrast estimators, higher-order spectral densities, long-range dependence
DOI: 10.1016/j.jmva.2006.09.009
ISSN: 0047-259X
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Current > Research Centres > Science Research Centre
Copyright Owner: Copyright 2007 Elsevier
Copyright Statement: Reproduced in accordance with the copyright policy of the publisher.
Deposited On: 04 May 2007 00:00
Last Modified: 29 Feb 2012 13:20

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