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Minimum Contrast Method for Parameter Estimation in the Spectral Domain

In: Modern Stochastics and Applications

Author

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  • Lyudmyla Sakhno

    (Taras Shevchenko National University of Kyiv)

Abstract

We provide a concise summary on the method of parameter estimation of random fields in the spectral domain developed in the papers [1–3], which is based on higher-order information and the minimum contrast principle. The exposition covers both continuous and discrete-time cases. Minimum contrast estimators are defined via minimization of a certain empirical spectral functional of kth order based on tapered data. Conditions for consistency and asymptotic normality of the estimators are stated.

Suggested Citation

  • Lyudmyla Sakhno, 2014. "Minimum Contrast Method for Parameter Estimation in the Spectral Domain," Springer Optimization and Its Applications, in: Volodymyr Korolyuk & Nikolaos Limnios & Yuliya Mishura & Lyudmyla Sakhno & Georgiy Shevchenko (ed.), Modern Stochastics and Applications, edition 127, pages 319-336, Springer.
    • Handle: RePEc:spr:spochp:978-3-319-03512-3_18
    DOI: 10.1007/978-3-319-03512-3_18
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