On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
Probability
2019-09-24 v1 Statistics Theory
Statistics Theory
Abstract
A continuous-time nonlinear regression model with L\'evy-driven linear noise process is considered. Sufficient conditions of consistency and asymptotic normality of the Whittle estimator for the parameter of the noise spectral density are obtained in the paper.
Cite
@article{arxiv.1909.10457,
title = {On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models},
author = {A. V. Ivanov and N. N. Leonenko and I. V. Orlovskyi},
journal= {arXiv preprint arXiv:1909.10457},
year = {2019}
}
Comments
38 pages