Minimum contrast estimation of random processes based on information of second and third orders |
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| Authors: | V.V. Anh N.N. Leonenko L.M. Sakhno |
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| Affiliation: | 1. School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane QLD 4001, Australia;2. School of Mathematics Cardiff University, Senghennydd Road, Cardiff CF24 4YH, UK;3. Department of Mathematics, Kyiv University (National), Kyiv, 01033, Ukraine |
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| Abstract: | This paper presents the results on consistency and asymptotic normality of a class of minimum contrast estimators for random processes with short- or long-range dependence based on the second- and third-order cumulant spectra. Asymptotic properties of sample spectral functionals of second and third orders, which are of independent interest in view of their possible use for nonparametric estimation of processes with short- or long-range dependence, are also provided. |
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| Keywords: | 62M09 62M15 |
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