LOG-REGULARIZED PERIODOGRAM REGRESSION FO R GAUSSIAN-PROCESSES UNDER ASSUMPTION OF BOUNDED SPECTRAL DENSITY

Authors
COMTE F HARDOUIN C
Citation
F. Comte et C. Hardouin, LOG-REGULARIZED PERIODOGRAM REGRESSION FO R GAUSSIAN-PROCESSES UNDER ASSUMPTION OF BOUNDED SPECTRAL DENSITY, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 325(11), 1997, pp. 1203-1206
Citations number
9
Categorie Soggetti
Mathematics,Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
325
Issue
11
Year of publication
1997
Pages
1203 - 1206
Database
ISI
SICI code
0764-4442(1997)325:11<1203:LPRFRG>2.0.ZU;2-S
Abstract
We present an estimation method based on log-periodogram regression fo r stationary processes with bounded spectral density. The consistency and the asymptotic normality of the estimators are established, provid ed that the periodogram is regularized. The results are proved to be e quivalent to Whittle-type estimates.