On the robustness to small trends of parameter estimation for continuous-time stationary models with memory

Аннотация

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.