Minimum Contrast Method for Parameter Estimation in the Spectral Domain

Lyudmyla Sakhno ()
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Lyudmyla Sakhno: Taras Shevchenko National University of Kyiv

A chapter in Modern Stochastics and Applications, 2014, pp 319-336 from Springer

Abstract: Abstract We provide a concise summary on the method of parameter estimation of random fields in the spectral domain developed in the papers [1–3], which is based on higher-order information and the minimum contrast principle. The exposition covers both continuous and discrete-time cases. Minimum contrast estimators are defined via minimization of a certain empirical spectral functional of kth order based on tapered data. Conditions for consistency and asymptotic normality of the estimators are stated.

Keywords: Spectral Density; Asymptotic Normality; Discrete Case; Contrast Function; Minimum Contrast (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-319-03512-3_18

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DOI: 10.1007/978-3-319-03512-3_18

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