Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes

Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes This paper is concerned with the estimation of parameters in spectral density of a stationary process. A new estimate of the parameter is proposed by using the bootstrap method. We call it the bootstrap maximum likelihood estimate (BMLE). In this paper, under suitable regularity conditions, the BMLE is shown to be consistent and asymptotically normal. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes

Yu, Dan
Acta Mathematicae Applicatae Sinica , Volume 12 (3) – Jul 14, 2005
Download PDF
9 pages

Loading next page...
 
/lp/springer-journals/bootstrap-maximum-likelihood-estimation-of-the-parameter-in-spectral-s23vWQcVZk

References (6)

Publisher
Springer Journals
Copyright
Copyright © 1996 by Science Press, Beijing, China and Allerton Press, Inc., New York, U.S.A.
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02011888
Publisher site
See Article on Publisher Site

Abstract

This paper is concerned with the estimation of parameters in spectral density of a stationary process. A new estimate of the parameter is proposed by using the bootstrap method. We call it the bootstrap maximum likelihood estimate (BMLE). In this paper, under suitable regularity conditions, the BMLE is shown to be consistent and asymptotically normal.

Journal

Acta Mathematicae Applicatae Sinica – Springer Journals

Published: Jul 14, 2005

There are no references for this article.