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

A. V. Ivanov (), N. N. Leonenko () and I. V. Orlovskyi ()
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A. V. Ivanov: National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”
N. N. Leonenko: Cardiff University
I. V. Orlovskyi: National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”

Statistical Inference for Stochastic Processes, 2020, vol. 23, issue 1, No 5, 129-169

Abstract: 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.

Keywords: Nonlinear regression model; Lévy-driven linear noise process; The least squares estimator; Spectral density; Whittle estimator; Consistency; Asymptotic normality; Levitan polynomials (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11203-019-09206-z

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