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首页> 外文期刊>Journal of Time Series Analysis >INFERENCE WITH THE WHITTLE LIKELIHOOD: A TRACTABLE APPROACH USING ESTIMATING FUNCTIONS
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INFERENCE WITH THE WHITTLE LIKELIHOOD: A TRACTABLE APPROACH USING ESTIMATING FUNCTIONS

机译：怀特似的推论：一种使用估计函数的可追踪方法

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摘要

The theoretical properties of the Whittle likelihood have been studied extensively for many different types of process. In applications however, the utility of the approach is limited by the fact that the asymptotic sampling distribution of the estimator typically depends on third-order and fourth-order properties of the process that may be difficult to obtain. In this article, we show how the methodology can be embedded in the standard framework of estimating functions, which allows the asymptotic distribution to be estimated empirically without calculating higher-order spectra. We also demonstrate that some aspects of the inference, such as the calculation of confidence regions for the entire parameter vector, can be inaccurate but that a small adjustment, designed for application in situations where a mis-specified likelihood is used for inference, can lead to marked improvements.
机译：对于许多不同类型的过程，已经广泛研究了Whittle可能性的理论性质。然而，在应用中，该方法的实用性受到以下事实的限制：估算器的渐近采样分布通常取决于可能难以获得的过程的三阶和四阶性质。在本文中，我们展示了如何将该方法嵌入到估计函数的标准框架中，从而无需计算高阶谱就可以凭经验估计渐近分布。我们还证明了推理的某些方面，例如整个参数向量的置信度区域的计算可能是不准确的，但是针对在使用错误指定的可能性进行推理的情况下设计的小调整可能会导致明显改善。

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