Enviar artigo por via de e-mail On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
- Autores: Ginovyan M.1,2, Sahakyan A.3
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Afiliações:
- Institute of Mathematics
- Boston University
- Yerevan State University
- Edição: Volume 51, Nº 5 (2016)
- Páginas: 232-241
- Seção: 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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Resumo
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.
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Sobre autores
M. Ginovyan
Institute of Mathematics; Boston University
Autor responsável pela correspondência
Email: mamgin.55@gmail.com
Armênia, Yerevan; Boston
A. Sahakyan
Yerevan State University
Email: mamgin.55@gmail.com
Armênia, Yerevan
