𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Spectral density based estimation of continuous-time ARMAX process parameters

✍ Scribed by M. Mossberg


Book ID
112006919
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
115 KB
Volume
14
Category
Article
ISSN
1561-8625

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Accurate rates of density estimators for
✍ D. Blanke; D. Bosq πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 316 KB

We specify necessary conditions for getting parametric convergence rate of kernel density estimators. For continuoustime processes observed over [0, T], we show that two possible exact rates are (In T)/T and 1/T, according to the nature of sample paths.

Estimation of the Asymptotic Variance of
✍ Armelle Guillou; Florence MerlevΓ¨de πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 196 KB

In order to construct confidence sets for a marginal density f of a strictly stationary continuous time process observed over the time interval [0, T ], it is necessary to have at one's disposal a Central Limit Theorem for the kernel density estimator f T . In this paper we address the question of n