On a class of minimum contrast estimators for fractional stochastic processes and fields

被引：27
|
作者：
Anh, VV
Leonenko, NN
Sakhno, LM
机构：
[1] Queensland Univ Technol, Brisbane, Qld 4001, Australia
[2] Cardiff Univ, Sch Math, Cardiff CF24 4YH, S Glam, Wales
[3] Kyiv Taras Shevchenko Natl Univ, Dept Math, UA-01033 Kiev, Ukraine
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2004年 / 123卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
minimum contrast estimators; fractional Riesz-Bessel motion; fractional random fields; long-range dependence; consistency; asymptotic normality;
D O I：
10.1016/S0378-3758(03)00136-8
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper presents the results on consistency and asymptotic normality of a class of minimum contrast estimators for fractional Riesz-Bessel motion based on continuous-time observation. The method does not require discretization, which is necessary in existing approaches. The results are then generalized to random processes and fields with short- or long-range dependence. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码：161 / 185
页数：25
相关论文
共 50 条
  • [1] On a class of minimum contrast estimators for Gegenbauer random fields
    Espejo, Rosa M.
    Leonenko, Nikolai N.
    Olenko, Andriy
    Ruiz-Medina, Maria D.
    [J]. TEST, 2015, 24 (04) : 657 - 680
  • [2] On a class of minimum contrast estimators for Gegenbauer random fields
    Rosa M. Espejo
    Nikolai N. Leonenko
    Andriy Olenko
    María D. Ruiz-Medina
    [J]. TEST, 2015, 24 : 657 - 680
  • [3] MINIMUM CONTRAST ESTIMATORS FOR PIECEWISE DETERMINISTIC MARKOV PROCESSES
    Dufour, F.
    Genadot, A.
    Costa, O. L. V.
    [J]. NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION, 2024,
  • [4] VALIDITY OF EDGEWORTH EXPANSIONS OF MINIMUM CONTRAST ESTIMATORS FOR GAUSSIAN ARMA PROCESSES
    TANIGUCHI, M
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1987, 21 (01) : 1 - 28
  • [5] ON THE DENSITY OF MINIMUM CONTRAST ESTIMATORS
    SKOVGAARD, IM
    [J]. ANNALS OF STATISTICS, 1990, 18 (02): : 779 - 789
  • [6] Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
    WeiLin Xiao
    WeiGuo Zhang
    XiLi Zhang
    [J]. Science China Mathematics, 2012, 55 : 1497 - 1511
  • [7] Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
    XIAO WeiLin1
    2Department of Accounting and Finance
    [J]. Science China Mathematics, 2012, 55 (07) : 1497 - 1511
  • [8] Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
    Xiao WeiLin
    Zhang WeiGuo
    Zhang XiLi
    [J]. SCIENCE CHINA-MATHEMATICS, 2012, 55 (07) : 1497 - 1511
  • [9] Exponential bounds for minimum contrast estimators
    Golubev, Yuri
    Spokoiny, Vladimir
    [J]. ELECTRONIC JOURNAL OF STATISTICS, 2009, 3 : 712 - 746
  • [10] RATES OF CONVERGENCE FOR MINIMUM CONTRAST ESTIMATORS
    BIRGE, L
    MASSART, P
    [J]. PROBABILITY THEORY AND RELATED FIELDS, 1993, 97 (1-2) : 113 - 150
12345