Related papers: Local Whittle estimation in nonstationary and unit…
An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local…
We derive limiting distributions of symmetrized estimators of scatter, where instead of all $n(n-1)/2$ pairs of the $n$ observations we only consider $nd$ suitably chosen pairs, $1 \le d < \lfloor n/2\rfloor$. It turns out that the…
The estimation of parameters in the frequency spectrum of a seasonally persistent stationary stochastic process is addressed. For seasonal persistence associated with a pole in the spectrum located away from frequency zero, a new…
This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying…
For long memory time series models with uncorrelated but dependent errors, we establish the asymptotic normality of the Whittle estimator under mild conditions. Our framework includes the widely used FARIMA models with GARCH-type…
We establish asymptotic properties of $M$-estimators, defined in terms of a contrast function and observations from a continuous-time locally stationary process. Using the stationary approximation of the sequence, $\theta$-weak dependence,…
For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied. Local asymptotic normality, local asymptotic mixed normality, periodic local…
This work develops non-asymptotic theory for estimation of the long-run variance matrix and its inverse, the so-called precision matrix, for high-dimensional time series under general assumptions on the dependence structure including…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
Wald-type tests are convenient because they allow one to test a wide array of linear and nonlinear restrictions from a single unrestricted estimator; we focus on the problem of implementing Wald-type tests for nonlinear restrictions. We…
We consider a time series $X=\{X_k, k\in\mathbb{Z}\}$ with memory parameter $d\in\mathbb{R}$. This time series is either stationary or can be made stationary after differencing a finite number of times. We study the "Local Whittle Wavelet…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
In this article we discuss estimation of the common variance of several normal populations with tree order restricted means. We discuss the asymptotic properties of the maximum likelihood estimator of the variance as the number of…
In this paper, we consider the Whittle estimator for the parameters of a stationary solution of a continuous-time linear state space model sampled at low frequencies. In our context the driving process is a L\'evy process which allows…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
We study local asymptotic properties of likelihood ratios of certain Heston models. We distinguish three cases: subcritical, critical and supercritical models. For the drift parameters, local asymptotic normality is proved in the…
This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum score estimator for a…
We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter $H$ of the fractional part…
Fractionally integrated time series, exhibiting long memory with slowly decaying autocorrelations, are frequently encountered in economics, finance, and related fields. Since the seminal work of Robinson (1995), a variety of semiparametric…
Consider the task of generating samples from a tilted distribution of a random vector whose underlying distribution is unknown, but samples from it are available. This finds applications in fields such as finance and climate science, and in…