On the Whittle estimator for linear random noise spectral density
parameter in continuous-time nonlinear regression models
Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems (JCTPDS), 2019
Abstract
A continuous-time nonlinear regression model with L\évy-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.
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