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Preliminary test estimation for spectra. (English) Zbl 1227.62078

Summary: For a general non-Gaussian stationary linear process, quasi-maximum likelihood estimation of a subset of the parameters of the spectral density is considered when the complementary subset is suspected to be superfluous. A preliminary test quasi-maximum likelihood estimator (q-MLE) of parameters is introduced and, in the light of its mean square error, is compared with the restricted and unrestricted q-MLE.

MSC:

62M15 Inference from stochastic processes and spectral analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
62F12 Asymptotic properties of parametric estimators
62H12 Estimation in multivariate analysis
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