On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models

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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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:	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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