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Statistical inference using higher-order information

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  • Anh, V.V.
  • Leonenko, N.N.
  • Sakhno, L.M.
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    Abstract

    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 98 (2007)
    Issue (Month): 4 (April)
    Pages: 706-742

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    Handle: RePEc:eee:jmvana:v:98:y:2007:i:4:p:706-742

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    Related research

    Keywords: Minimum contrast estimators Higher-order spectral densities Long-range dependence Consistency Asymptotic normality;

    References

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    1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    2. Valery Buldygin & Frederic Utzet & Vladimir Zaiats, 2004. "Asymptotic Normality of Cross-correlogram Estimates of the Response Function," Statistical Inference for Stochastic Processes, Springer, vol. 7(1), pages 1-34, March.
    3. Gao, Jiti & Anh, Vo & Heyde, Chris, 2002. "Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 295-321, June.
    4. Zhang, Hong-Ching & Shaman, Paul, 1991. "On the calculation of cumulants of estimators arising from a linear time series regression model," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 135-150, May.
    5. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
    6. Heyde, C. C. & Gay, R., 1993. "Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 169-182, March.
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