Parameter Estimation for Lévy-Driven Continuous-Time Linear Models with Tapered Data

Abstract

The paper is concerned with the statistical parametric estimation of a vector spectral parameter for Lévy-driven continuous-time stationary linear models with tapered data. As an estimator for unknown parameter we consider the Whittle estimator based on tapered data. Consistency and asymptotic normality of the estimator are established.

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Correspondence to Mamikon S. Ginovyan.

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The research was partially supported by National Science Foundation Grant #DMS-1309009 at Boston University.

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Ginovyan, M.S. Parameter Estimation for Lévy-Driven Continuous-Time Linear Models with Tapered Data. Acta Appl Math 169, 79–97 (2020). https://doi.org/10.1007/s10440-019-00289-7

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Keywords

  • Tapered data
  • Lévy-driven continuous-time model
  • Spectral density
  • Parametric estimation
  • Smoothed periodogram
  • Consistency
  • Asymptotic normality

Mathematics Subject Classification

  • 62F10
  • 62F12
  • 60G10
  • 60F05