Ivanov, A.V., Leonenko, N.N.  ORCID: https://orcid.org/0000-0003-1932-4091 and Orlovskyi, I.V.
2020.
On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models.
Statistical Inference for Stochastic Processes
23
, pp. 129-169.
10.1007/s11203-019-09206-z
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Official URL: https://doi.org/10.1007/s11203-019-09206-z
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.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Mathematics |
| Publisher: | Springer Verlag (Germany) |
| ISSN: | 1387-0874 |
| Date of First Compliant Deposit: | 4 September 2019 |
| Date of Acceptance: | 5 September 2019 |
| Last Modified: | 05 May 2023 19:00 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/125279 |
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