Email this article On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
- Authors: Ginovyan M.S.1,2, Sahakyan A.A.3
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Affiliations:
- Institute of Mathematics
- Boston University
- Yerevan State University
- Issue: Vol 51, No 5 (2016)
- Pages: 232-241
- Section: Probability Theory and Mathematical Statistics
- URL: https://journals.rcsi.science/1068-3623/article/view/227958
- DOI: https://doi.org/10.3103/S1068362316050046
- ID: 227958
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Abstract
The paper deals with a question of robustness of inferences, carried out on a continuoustime stationary process contaminated by a small trend, to this departure from stationarity.We show that a smooth periodogram approach to parameter estimation is highly robust to the presence of a small trend in themodel. The obtained result is a continuous version of that of Hede and Dai (Journal of Time Series Analysis, 17, 141-150, 1996) for discrete time processes.
About the authors
M. S. Ginovyan
Institute of Mathematics; Boston University
Author for correspondence.
Email: mamgin.55@gmail.com
Armenia, Yerevan; Boston
A. A. Sahakyan
Yerevan State University
Email: mamgin.55@gmail.com
Armenia, Yerevan
